Mexico City
The city is colloquially known as Chilangolandia after the locals' nickname chilangos. Chilango is used pejoratively by people living outside Mexico City to "connote a loud, arrogant, ill-mannered, loutish person". For their part those living in Mexico City designate insultingly those who live elsewhere as living in la provincia ("the provinces", the periphery) and many proudly embrace the term chilango. Residents of Mexico City are more recently called defeños (deriving from the postal abbreviation of the Federal District in Spanish: D.F., which is read "De-Efe"). They are formally called capitalinos (in reference to the city being the capital of the country), but "[p]erhaps because capitalino is the more polite, specific, and correct word, it is almost never utilized".

Q: What is the "official" term to denote a citizen of Mexico City?
capitalinos