> but wouldn't say 'a Thai', 'a Swedish', 'a Sudanese'

You also don't say 'a Japanese' but that is an extremely common error with Japanese English speakers when they are first learning.

I am looking for a citation, but I seem to recall the casual rule of thumb is something to do with the ending of the nationality (so '-ish', '-ese','-ch' etc. you can't put 'a' in front). I think the more formal explanation likely centers around rules relating to indefinite articles.