Wien
If you're troubled by various roadside signs pointing to Wien where you're expecting Vienna, relax. Wien is the local (German) word for Vienna. It's pronounced "Veen" (with a V).
So Wien is the city of Vienna, and a Wiener is a man or boy who comes from Vienna (and, crucially, not a sausage - that's called a Frankfurter here). A woman or girl from Vienna is a Wienerin.
There is also Wienerisch, which is the German dialect spoken in the city, and which also has its own, often "colorful", vocabulary. It's hard to describe, but takes a lot of getting used to. Think Glaswegian English.
Vienna in other languages:
Spanish - Viena
French - Vienne
Czech - Víden
Estonian - Viin
Hungarian - Bécs (go figure)
Dutch - Wenen
Latin - Vindobona
Polish - Wieden