The name of the country roughly meant South Slavs. if im wrong by all means educate me...
Yugoslavia/Yugoslav is a meaningless compound word - strictly speaking it means nothing in any of the Southern Slavic languages (although it was envisaged to allude to Southern Slavs). But that's not to mention that not all Southern Slavs lived in that country, while quite a few non-Slavs did, and that none of them used that term to describe their belonging to a specific ethno-linguistic sub-group, which is hardly a common identifier for most peoples around the world at any rate.