Rhode Island attached a lot of conditions on to its acceptance of the Constitution. It's unclear just what status those provisions had in terms of law, but it looks like they may have provided much of the impetus for the Bill of Rights. The RI ratifying convention did specify "That the powers of government may be reassumed by the people whensoever it shall become necessary to their happiness," but it's not clear whether this refers to a specific right of secession, or the general right of revolution evoked in the Declaration of Independence.
One could talk for hours about this phrase would mean. Federalists and Anti-Federalists differed as to what was conducive to the people's happiness. There may be a more specific reservation asserting the right to secede in the ratifying convention's text, but I couldn't find it.
This guy may believe in it.
One thing about the ratification process. One could make an argument that the Constitution was sent to conventions, rather than to state legislatures for ratification in order to avoid the idea that the Constitution would simply be a compact of state governments or their creature. Of course the existence of the states had to be taken into account, and if a convention turned down the Constitution that state wouldn't be involved in the new government, but it looks as though they were aiming at something more than a confederation of independent states.