Back in the day, you saw more people using "Wutaian" or "Wutai". There were writers who wished to be more yuuneek by using "Wutanese" (Myself included) because it made more sense in our Anglo-centric minds. Wutai : Japan :: Wutanese : Japanese. QED.

In-Compilation it's "Wutai" (Though considering it's Rosso saying it, it might be suspect.). Ghetto Japanese tells me that "Utaijin" would be okay, but since I don't have the Dirge script in Japanese, I'm not going to look for Rosso's corresponding "Wutai flea!" line.