uS Territory but not the US. Same with Puerto Rico.
The First Congress addressed it in the Naturalization Act of 1790:
“And the children of citizens of the United States that may be born beyond Sea, or out of the limits of the United States, shall be considered as natural born Citizens”
http://www.indiana.edu/~kdhist/H105-documents-web/week08/naturalization1790.html
McCain’s parents were both US citizens.