It's still not even remotely comparable. If I emigrate from the USA and become a citizen of Singapore, I lose my U.S. citizenship. It's gone, and I'm unlikely to ever get it back. Hell, looking at recent headlines, the USA may not ever even allow me to re-enter the country for a visit. I can go back to Colorado and become a citizen any time I wish. I can become a brand new citizen of Alabama, or California on a whim.
State citizenship, unlike national citizenship carries absolutely no requirements of allegiance. Nothing is surrendered moving from state to state, and nothing special is granted. The same cannot be said when expatriating.
Not unless you also choose to renounce your US citizenship.