Because Columbus sailed west and was pi$$ed that he didn't get to India so he called the locals "Indians."
Next, the illegal immigrant caucasians decided that they would steal all the land and kill all the locals with either bullets or smallpox.
"First Nations" is a fairly modern term, don't know who thought it up.
However, it does reveal that they (FN) were no more than earlier arrivals
in the Americas having sat on their butts in Beringia for 10,000 years until the ice melted.
Recent evidence show that the first bunch might have got here 30,000 yrs ago, 10K earlier than thought.
My native carver aquaintences prefer to be identified by culture = Haida, Cree, Dene, Tlingit, Timshian, Kwakwaka'Wakw and so on.
You all in the UK and Europe have had a progression of development from the Neolithic through phases of metals.
Not so in the Americas. Essentially Neolithic then WHAM! straight into the Iron Age with ceramics and different people as well.