Hmm.. this is something I do not understand so far hmm. when I say I am from Berlin I could say (Ich bin ein Berliner) here I though Berlin became like an adjectival noun. But one thing I found a bit strange was Berliner Sparkasse. Kasse is feminine so I thought it should be Berline Sparkasse. What is going on here?
"Berliner" is a standard adjectival derivative of a proper geografical noun which carries the ending -er regardless of the gender of the noun:
Der Berliner Raum
Die Berliner Sparkasse
Das Berliner Straßennetz
What is more, "Berliner" is never inflected:
Der Berliner Raum Des Berliner Raums Dem Berliner Raum Den Berliner Raum
Same with "Wiener", "Stuttgarter", "Hamburger", etc.
It is another question if you add the syllable "isch":
Die berlinerische Lebensart
which carries flections but also implies a different meaning, as "die berlinerische Lebensart" might also be found elsewhere, but "das Berliner Straßennetz" only in Berlin.
The capitalization of "Berliner" is due to §61 of the orthographical rules of the Council for German Orthography (Rat für deutsche Rechtschreibung), whereas §62 commands to lowercase "berlinerisch".
Another examples of this kind:
Schweizer Käse, Kölner Dom, Frankfurter Würstchen
des Schweizer Käses, vom Kölner Dom, satt von Frankfurter Würstchen
This is somewhat special. Adjectives derived from city names end always with "-er" and are not declinated whatsoever.
In fact, it is feminine: "die Sparkasse".
But, in this case "Berliner" is related to its home city Berlin and therefore is another form of "Sparkasse of Berlin" or "Sparkasse von Berlin".
Berliner (and the like) is usually called an indeclinable adjective, but, at least historically, it is a noun meaning “inhabitant of Berlin”, and, being a noun, it is written with an upper-case B, Hence:
In “Berliner Wurst” (etc.) Berliner is (again, at least historically) the genitive plural of the word for “inhabitant of Berlin”, “the Berliners’ sausage”, as Roger has explained.
In my view in such forms as Münchner Bier, Thüringer Bratwürste etc "Berliner" and "Münchner" are no adjectives as they are invariable but genitive plural forms derived from "Bier der Münchner" and "Bratwürste der Thüringer" with the genitive placed before the noun as in Latin Romanorum lingua ( literal: of the Romans + language) or as in literary formulas as "der Menschen Schicksal".