The legally correct term is “Indian.” Obviously they had their own names for themselves. “First Nations” and “Native” are terms that are not rooted either in Indians’ names for themselves nor in the U.S. government’s name for them.
Of course native people didn’t call themselves Indian prior to settlers assigning them that name, with legal consequences. But native people usually refer to their tribe identity, like Diné or Lakota, rather than the generic term Indian.
As an actual Indian from India I do get annoyed that Columbus's misconception has lived on this long, although I understand there's nothing I can do to change that.
