Also, check out the "jurisdiction" of the United States as defined in the Constitution (legislative) and U.S. Code Title 18 (criminal).
From the Constitution, section 8: "To exercise exclusive legislation in all cases whatsoever, over such District (not exceeding ten miles square) as may, by cession of particular states, and the acceptance of Congress, become the seat of the government of the United States, and to exercise like authority over all places purchased by the consent of the legislature of the state in which the same shall be, for the erection of forts, magazines, arsenals, dockyards, and other needful buildings;"
U.S Code, Title 18, part 1, chapter 1.7: "(3) Any lands reserved or acquired for the use of the United States, and under the exclusive or concurrent jurisdiction thereof, or any place purchased or otherwise acquired by the United States by consent of the legislature of the State in which the same shall be, for the erection of a fort, magazine, arsenal, dockyard, or other needful building."
I don't claim to hold the answer, but it seems to me, based on the history of how this nation came into existance, there was only citizenship of the individual States before there was a union.
After the union, states held many powers, else they would never have consented to join such a union.