I don't know if there's a lore-based explanation or an official statement about this, but I decided to take a look at the names for people coming from real countries. Another interesting, more compartmentalized list can be found here.
Searching this list for "*ians" yields a few interesting results, which don't only include obvious origins such as Austria -> Austrians. The second list actually even has a section that lists countries whose inhabitants are called something that ends on "-vian".
Take a look at these (all taken from the second list):
- Oamaru → Oamaruvian, why not Oamaru?
- Oslo → Oslovian, why not Oslonian?
- Peru → Peruvian, why not Peruer? Or Peruist?
- Warsaw → Warsovian, why not Warsawer?
- Waterloo → Waterluvian, why not Waterlooer? (this is actually pretty close to Waterdhavian)
- Wythenshawe → Wythenshavian, why not Wythenshawer?
I could start listing examples from the first list, but there are just too many examples.
I think in the end, simply those demonyms survived that sounded best. I'm guessing it's the same with "Waterdhavians" - "Waterdeepers", "Waterdeeps", "Waterdeepite" or "Waterdeepard" just sound dumb.
"Waterdeepans" or "Waterdeepians" would have been somewhat ok, but it doesn't sound as fancy.
And let's be honest - if you have to come up with names for badass fantasy cities, you're gonna go for something fancy.