I definitely agree with you on this. I'm from Leeds and my first thought was that there isn't really a term for someone from Leeds, other than someone from Leeds!
Leodensian might be a term that existed at some point, or is by lack of an alternative, the default word, but it isn't actually used to the point where any person from Leeds would expect another person from Leeds to understand the term (let alone someone from elsewhere)
Now I think about it, I can't think of many names for citizens of the main yorkshire cities (York, Sheffield??). Perhaps "yorkshireman" or "yorkshirewoman" has been enough...