US states are, in some ways, less independent than UK countries.
Wales can no more disavow the PM than California can disavow POTUS. So this separate status is limited.
The big counter to this is the idea that US states have their own militaries. States may have militias, but they can be subsumed by the federal government pretty easily, as we saw in California in 2025. They are not truly independent armed forces.
OTOH, states are not allowed to leave the US, we had a war about this a while ago. Meanwhile Scotland had a referendum on leaving the UK a few years ago.
Love it or hate it, we are Americans first before we are New Yorkers or Mississipians and so forth. This is especially true when it comes to international relations; that's handled on a federal level and most people in the world couldn't tell a Nebraskan from an Alaskan.