U.S. states are sovereign states, just like EU states are. They United States government itself is also sovereign, in a sense that the EU government itself may or may not be. (Most) Americans live under two sovereigns: their state and the U.S.
Which article or amendment of the U.S. Constitution forbids a state to leave without permission of the U.S.?
And good luck finding a good vehicle to overturn that precedent.
The TEU at least provides an explicit process for leaving