Note: Maharashtra is an Indian state (it is where I live). The official language of Maharashtra is Marathi (it is a language I have been trying to learn for nearly a decade).
The word 'Maharashtrian' is often used as an adjective meaning 'pertaining to Maharashtra'; it is used even more often to mean 'a person from Maharashtra' or 'a speaker of Marathi language'.
If one goes by the conventions in the Aryan languages of India, 'Maharashtra' would yield the adjective 'Maharashtreeya'. And by the normal rules of English language, the noun 'Maharashtra' would lead to an adjective 'Maharashtran' (no 'i' in it). So how does one explain this 'Maharashtrian'?
Guess: Perhaps in the earlier days of English domination, 'Maharashtra' might have got spelt 'Maharashter' or 'Maharashtar' in English. Then, just as 'Lancaster' led to 'Lancastrian' and 'Manchester' to 'Manchestrian' (and closer to home, like 'Zoroaster' yielding 'Zoroastrian'), 'Maharashtrian' came into being as a valid English adjective (valid as long as 'Maharashter/ar' was current).
Implication: The word which most speakers of Marathi use to categorize themselves geographically and linguistically is a purely foreign fabrication resulting from an outdated transliteration of the name of their homeland into a foreign language.
Indeed, in Marathi language, the word 'Marathi' itself can be an adjective meaning 'concerning Marathi' or even 'speaking Marathi'. However most present day Marathi people (at least in Pune) seem rather uncomfortable with saying 'I am (a) Marathi' (even when speaking in Marathi); they prefer 'I am (a) Maharashtrian'.
Note added on 29th Nov. 2006:
Found another word which has a similar ending to 'Maharashtrian: 'Dravidian'. This is clearly an English word (an adjective which functions as a noun too, like 'Indian') which is derived from 'Dravida'. The 'i' in 'Dravidian' cannot be explained away on the lines of 'Lancastrian' and so somewhat weakens the guess made above (hmm, well, not necessarily! 'Dravidian' might have evolved by the following path: in English, 'David' leads to the adjective 'Davidian'. So, 'Dravida', which might well have got written 'Dravid' in English, naturally yielded 'Dravidian'. Howzzatt?!).
And 'Aryan', the word which is in someway the 'antonym' of 'Dravidian', is equally interesting - in a different way. 'Aryan' is an English adjective (and noun) derived from the Hindi 'Arya' (the first 'a' is extended and the last, very short) or the Sanskrit 'Arya:'. The English derivation of 'Aryan' is quite similar to that of 'Indian' - no mysteries there. The rather curious thing is that the English word 'Aryan' is now often used as a proper name in north India instead of 'Arya'.
Note added on August 11th, 2008:
Today I saw a board "Maharashtreeya Charmakar Sangh" ('Leather Workers' Union of Maharashtra'). That was the first time I saw the 'correct' adjective 'Maharashtreeya' used in public!