People from St. Louis identify themselves as St. Louisans whether they live in the City or the County. If I say I'm from StL, someone will ask me what part, and I say the City. Nelly would say he is from StL, and if asked what part, would say U City. Residents of Ferguson would say StL, and if asked what part, would say Ferguson.
StL is very unique with the City/County structure. It doesn't make much sense to those not from here.
That's not what they'd say.
If you say that you're from St. Louis, people from St. Louis will ask you "Where did you go to high school?"