In the fickle world of politics, I'm not willing to stop with understanding 'at the gut level'. - Boethius
First of all, there is no reason why we have to stop at the gut level to explain the loyalties of mainstream American conservatives. They can be made quite explicit. As I mentioned a few posts ago, they have loyalties to the Republican party on one end and Greater Red State America on the other. It's just that for most people who spend less time analyzing this sort of thing than I do, these loyalties are intuited rather than stated.
As far as the larger issue of why we are or should be loyal to the United States as opposed to Des Moines, for all of its defects it is America where we have our citizenship. Ironically enough the best explanation I've seen for this recently comes from the Tarnac9, a small group of French antiglobalization activists (or terrorists, whichever you prefer):
The moment has come to put the category of “citizenship”, the heredity of an urban modernity that doesn’t exist in anywhere, into discussion. In the metropolis, being a citizen means simply reentering in the biopolitical job of governmentability, seconding the “legality” of a State, of a Nation and of a Republic that doesn’t exist if not only as ganglion of the Empire’s organized repression. The singularity exceeds citizenship. Vindicating one’s own singularity against citizenship is the slogan that, for example, migrants write daily with their blood on the Mediterranean coasts, in the CPT in revolt, on the wall of steel that divides Tijuana from San Diego or on the membrane of flesh and cement that separates the Rom bidonvilles from the shamefully sparkling City Center. Citizenship has become the award for faithful allegiance to the imperial order. The singularity, as soon as it can, happily does without it. Only the singularity can destroy the walls, borders, membranes and limits constructed as the infrastructure of dominion by biopower. - Tarnac9 (HT: also ironically, FirstThings)
Ie, it is at the level of our citizenship that our nihilist adversaries seek to attack us. That makes sense when you think about it because the state is legitimately accountable to its citizens and its those who wish to divert American power to their own ends must defeat that bond of accountability.
Of course America is an odd beast in this respect because we are citizens of the United States but the states are still theoretically at least sovereign. In the interest of localism we can wish that the states had more real power at the expense of the federal government and in fact the GOP has made that part of its program. Sometimes the Republicans go the mattresses for this and other times they just pay lip service to it. But in either case the United States (both as a nation and a government) is the level where the American polity interacts with the rest of the world. And for the sake of its integrity we should be loyal to it.
The flip side to this, is where the government acts in ways that are not plausibly intended to represent the American polity as a whole, then there is no duty of loyalty. The various Farm Bills, housing assistance programs and so on may be good ideas in some sense but first and foremost they are redistribution schemes that grant or withhold favors to some subset of Americans, and for that reason no one owes any loyalty to them. It was the Iraq war that upset this particular apple cart for a lot of people. Because we had all gotten used to the modern Leviathan state as the battleground of the spoils system, we had lost the ability to appreciate circumstances where the debt of loyalty really does apply.