Just to keep you apprised, you're generally correct about "Malian" being the proper word to use when referring to people from Mali. "Mali," however, is what Civ6 uses, and some reading of Wikipedia suggests that it was more commonly used to refer to people and things from the Mali Empire as opposed to the present-day West African nation. I added a piece of trivia about this to Mali (Civ6), and also redirected Malian (Civ6) to that page and added it as an alternate name for the civ to compromise (since we do use "Malian" to refer to that civ elsewhere in the wiki...and "Malinese," as you correctly observed, is not commonly used).
If you have any questions or disputes about this decision, please let me know. Thanks for all your hard work!