Are there two different words for an inhabitant of Finland and a member of the main ethnic group in Finland? Just as Malaysian is not the same as Malay.

I believe you are referring to the Sami, The Sami are the indigenous people also known as Laplander, Lapp, Sapmi, Saami, Sabme, Same, Samer.

https://www.britannica.com/topic/Sami

The members of the main ethnic group in Finland refer to themselves as Finns ("suomalaiset", nominative plural form of "suomalainen"). "Suomi" is the word for both the country (Finland) and the language (Finnish), which belongs to the Uralic (or Finno-Ugric) family. However, in one of the earliest known references to the peoples that inhabited present-day Finland, Roman historian Tacitus (in his "Germania", ca. 98 AD) uses the word "Fenni" - which denoted the Sámi, now a minority ethnic group, whose language is also part of the Uralic family.

For more information:
https://en.wikipedia.org/wiki/Finns#
https://en.wikipedia.org/wiki/S%C3%A1mi_peoples#

It depends on your perceptive. Most people from other countries would refer to all Finnish people as Finns. However, if you live in Finland and are a member of an ethnic group, you'd use an endonym to identify yourself, such as Deutschland is the German endonym for our "Germany."

Thanks for your comments but my question, which is not about the Sami but about the Swedish native speakers. still stands: Keke Rosberg is a citizen of Finland but he is a Swedish native speaker. In French there are 2 different words, so Rosberg is a "Finlandais" (he is a citizen of Finland) but he is not a "Finnois" (his mother tongue is Swedish), just as an Azerbaidjani is not the same as an Azeri, or a SriLankese is not the same as a Singhalese. But maybe there is just 1 word in English for 2 different realities.

Finland has historically been a country of emigration. In the 20th century, Finns emigrated largely in two waves. Before World War II, the majority of Finns went to North America, and after World War II most went to Sweden, where industrialization was generating much-needed jobs that offered higher salaries and a better standard of living. In the 1980s and early 1990s, Finnish returnees (mainly from Sweden) began to outnumber Finnish emigrants. Also arriving in Finland between April 1990 and 2010, were Ingrian Finns - descendants of ethnic Finns who settled near St. Petersburg, Russia, in the 17th century - who immigrated to Finland under the Right of Return Law. In addition, the country has absorbed immigrants from Russia, Estonia, the former Yugoslavia, and Sweden for a variety of reasons, most commonly for marriage and family reunification. Finland has also accepted refugees and asylum seekers from Somalia, Iraq, China, and Thailand.

https://www.cia.gov/the-world-factbook/countries/finland/

Finland has a "floating" distinction to define its native Finns, and this distinction is 100 years: "Traditional minorities are ethnic or linguistic groups that have existed in Finland for at least a century." Since this 100-year mark keeps changing every year, Finland now recognizes eight traditional minorities, and these minorities are listed in the reference.

Keke Rosberg is a Finn and more specifically a Finland Swede (Finlandsvenska).

In English, there are two words for two different realities: nationality and ethnicity.

https://www.familysearch.org/en/wiki/Finland_Cultural_Groups