The dictionaries give both

Thaï (pl.: les Thaïs)
and
Thaïlandais  (fem. Thaïlandaise)

As I understand the first means the ethnic group, the latter would mean a national of Thaiand?

But which one is more common when you speak about "a random guy from Thailand" (likely a Thai) or "locals in Thailand"?

Yes it is Hongkongais and they are not all masculine.

We say la Taïlande, le Vietnam and actually, I don't really know the gender of the others because putting an "article" (le/la) doesn't sound great in my ears... I can't say if there are rules about that.

Maybe this can help : http://www.francaisfacile.com/exercices/exercice-francais-2/exercice-francais-57842.php

Thanks for your comments!

So if I were to just say the countries, would it be... 

le Taiwan, 

le Singapour

le Thaïland

le Vietnam 

le Hong Kong ? 

Are they all masculine?

If anyone knows how to say the nationality of people from Hong Kong, it would be much appreciated! :)