Nepali is an adjective for being associated with Nepal. For example, Nepali Herbs, Nepali Movies, Nepali Music. Similarly, the language of Nepal is also called Nepali In addition, a person from Nepal is also called Nepal, just like the English.
However, there is a tendency to use 'Nepalese' as the adjective instead of 'Nepali' while speaking English.
Gurkha: Like Nepalese, Gurkha is also a misspelled word. The word was actually Gorkhalis--the people of Gorkha.