In the United States the federal government oversees the entire country, but the majority of the power is left to the individual states to oversee their people. This tier system goes down to the local level with counties and cities, as well. While states are not regarded as individual countries, they often function in much the same way.
No, states are still parts of one country, the United States of America, and they should behave accordingly. I do realize that some states have different laws other states don't have; that's okay as long as they don't claim to be a separate country and decide to ignore laws that are common for everyone.