Unlike Glasgow with its Glaswegians, and Manchester with its Mancunians, some places just don't have a singular term for their citizens.
It may well be that people from Leicester are simply called 'people from Leicester'.
Shame.
Sorry to sound abit prim, but us folk from Leicester are quite proud of our richly mixed community and, for the record, the Indian population is overwhelmingly Hindu (not Muslims NORMANTHEDOG... yawn).