As I understand it, they specifically reject being US citizens, often formally in pseudo-legal procedures they think count as renouncing US citizenship. To quote the Wikipedia article on them:
I don’t think you’ll find any consistency among them. There are probably some who say that they’re not US citizens, but that they’re USA citizens, or that they’re not American citizens, but instead uNITED sTATES citizens, or any other possible permutation you could come up with.