I don't want to get into a religious debate but I never think about loyalty and God at the same time. I see loyalty as something that can be shifted (if done correctly and I'm not going to go into detail here). Whereas my relationship with God is not about loyalty it just is.
I understand what you mean. It's just that it's easy for chr*stians (especially individualistic, born-again types) to forget that the Jews are a chosen nation with a G-d given Law (the Torah) and government.
I actually advocate a return to Jewry as a legal sovereign corporate Theocratic entity (Jews are a nation in exile, not a mere religious denomination). This would give the Orthodox Rabbinate its proper status as the civil authority over all Halakhic Jews (and put an end to the "official Jewish leadership" being made up of secularists). As to whether the sovereign Jewish community also enjoying citizenship in the host nation, that depends on if it is good or bad for the Torah. Certainly no one complains about various American Indian tribes being both "sovereign nations" and American citizens.