As GuideDogSaint said there is no rule about this. Bit there are some nationalities where there is a single word (like a Canadian) and others where there is not (a Korean *person*). To me using the Asian ones like "a Chinese", "a Japanese" or "a Korean" sounds rude. Others, like "a French" or "a Spanish" don't sound rude, they just sound wrong. I'm not sure why.