This might also be nitpicking, but Serbia and Montenegro retained the name "Federal Republic of Yugoslavia" until 2003. Also, calling yourself "Yugoslavian" simply means you're from the Southern Slavic areas, and isn't necessarily linked to any specific nationality.
Yes and since Trump's wife is from Slovenia, this is not relevant. And Yugoslavian had never had this meaning in English (or any Southern Slavic language for that matter) - it has only ever meant a inhabitant of Yugoslavia, since the whole term was borrowed only as a name of a country. For an obvious example, Bulgarians are never called Yugoslavian, though they would be according to your theory.