If people from Darjeeling do not call themselves Nepali (because they are not) then why do they want their state to be called Gurkhaland since Gurkha means Nepalese?

Most Indians don't know this part of history as Indian Textbooks mainly focuses on the History of India after the Independence. However, there were some important events between 1760-1816 that are closely associated to Nepalese history and British Rule.

It starts from the rise of King Prithivi Narayan Shah, the ruler of the small principality of Gorkha. After decades of rivalry between the medieval kingdoms divided into Baisi Rajya (22-Independent Kingdoms) and Chaubisi Rajya (24- Independent Kingdoms), modern Nepal was created in the latter half of the 18th century, when Prithvi Narayan Shahformed a unified country from these number of independent hill states. Prithvi Narayan Shah dedicated himself at an early age to the conquest of the Kathmandu Valley and the creation of a single state, which he achieved in 1768. At that time, Kathmandu valley was ruled by the "Malla Kings" who had close trade relations with Tibet and Mughal Enpire in India. The Malla period was the golden age of Kathmandu valley because at that period it flourished in its art and culture from the wealth collected as it was the center-point for trade between Tibet and the Mughals.

The country was frequently called the Gorkha Kingdom. It is a misconception that the Gorkhali took their name from the Gorkha region of Nepal; actually, the region was given its name after the Gorkhali had established their control of these areas. The Gorkhali take their name from the legendary 8th-century Hindu warrior-saint Guru Gorakhnath. The Gorkhali claimed descent from the Hindu Rajputs and Brahmins of Northern India, who entered modern Nepal from the west.

After Shah's death, the Shah dynasty began to expand their kingdom into what is present day North India. Shah had built his empire on conquest and his insatiable army needed ever more booty and land to keep it satisfied. Within six years the Gurkhas had conquered eastern Nepal and Sikkim including Darjeeling. The expansion then turned westwards into Kumaon and Garhwal, only halted on the borders of the Punjab by the armies of the powerful one-eyed ruler Ranjit Singh. During this period, Nepal extended its boundaries westward to beyond Satluj River upto Kangara until the tide turned in 1809 and Kangraking repulsed Gorkha army eastward with help from Maharaja Ranjit Singh. In the east, Nepal’s boundary extended to Teesta River which is current day border to Bhutan and India. The southern border was the Siwan district of Bihar. These unified territories are termed as "Greater Nepal".

The kingdom's power continued to grow until a 1792 clash with the Chinese in Tibet led to an ignominious defeat, during which Chinese troops advanced down the Kyirong Valley to within 35km of Kathmandu. As part of the ensuing treaty the Nepalis had to cease their attacks on Tibet and pay tribute to the Chinese emperor in Beijing; the payments continued until 1912.

After 1800, the heirs of Prithvi Narayan Shah proved unable to maintain firm political control over Nepal. A period of internal turmoil followed.
Rivalry between Nepal and the British East India Company over the princely states bordering Nepal and India eventually led to the Anglo-Nepalese War (1814–16), in which Nepal suffered a complete rout. The Treaty of Sugauli was signed in 1816, ceding large parts of the Nepali territories of Terai, (nearly one third of the country), to the British, in exchange for Nepalese autonomy. In fact, this treaty of Suguali was in favour of the East India Company and Nepal had to suffer a heavy loss of her territory. The 1816 Sugauli treaty called a halt to Nepal's expansion and laid down its modern boundaries. Nepal lost Sikkim, Kumaon, Garhwal and much of the Terai, The ceded territories remained in India when India became independent in 1947.

The expanding Nepali boundaries, by this time stretching all the way from Kashmir to Sikkim, eventually put it on a collision course with the world's most powerful empire, the British Raj. Despite early treaties with the British, disputes over the Terai led to the first Anglo-Nepali war, which the British won after a two-year fight. The British were so impressed by their enemy that they decided to incorporate Gurkha mercenaries into their own army which continues even today as there are Gurkha Regiments in both British Army and Indian Army as after Indian Independence, some Gurkha regiments agreed to continue under Indian Army. Many of the Gurkha soldiers of the campaign chose to stay behind in different part of the territories won by the Gurkha Army that is why there are Nepalese speaking communities in those territories of India like Darjeeling, Sikkim and even Dehradun followed by many others who migrated to these parts in course of time.
Hence, Nepalese speaking communities residing in these areas believe that they are the decedents of Gurkhas which is why they opted the term "Gorkhaland".
Sources: History of Nepal, History of India, Greater Nepal