> It's probably because before the United States existed, they were separate states.
The same is true of Canada's provinces and Australia's states – before (con)federation, they were separate British colonies. The big difference between Australia/Canada and the US, is the American colonies rebelled first, and then federated after they had won their independence. The Australian and Canadian colonies federated (with the approval of London) into "dominions", which were more than mere colonies but rather semi-independent parts of the British Empire. (London's power over the dominions gradually declined over the decades to the point that it recognised them as fully independent countries, although neither Canada nor Australia was fully independent at the moment of their respective federations.)
(Australians call it "Federation" and Canadians call it "Confederation" but it is the same thing. Canadian confederation never produced a Confederation in the sense that the American Articles of Confederation or the Confederate States of America were.)
Also, even before the now-independent American colonies formed themselves into a federation, they already viewed themselves as a distinct nation. There was never really any point that New Yorkers (for instance) viewed themselves as New Yorkers rather than Americans or British or British North Americans. American states never functioned as national identities. (Even cases like independent Vermont and independent Texas, they saw largely themselves as Americans waiting to be allowed into the United States, there was never really any independent Texan nationalism or Vermont nationalism.) Prior to the American revolution, there was no difference between Americans and English-speaking Canadians – they all saw themselves as British North Americans. It was only after the American revolution that English-speaking Canadians stopped identifying with the label "American" and began to identify it with the other country to the south instead. The American revolution was really the formative event which split Anglophone Canada and the United States into separate national identities.
> There's also the open ended clause where Texas thinks they can secede if they want to.
Texas tried to secede as part of the Confederacy, and the attempt was crushed. Whatever rights of secession some Texans claim exist on paper certainly don't exist in practice.