As others have pointed out, you don’t get it at all.
In fact, lots of countries have some degree of sovereignty at sub-federal levels. Canadian provinces have, in any sense that matters, essentially the same sovereignty as U.S. states.
What gives an entity sovereignty is the ability to set law in a manner that cannot be legally superseded by a greater sovereignty. An entity must have some degree of paramount, supreme authority of some kind. And in some areas, U.S. states and Canadian provinces do, in fact, have unchallengeable authority.
Consider this; the State of New York cannot legally be subdivided, changed, dissolved or ejected from the United States of America by the federal government. They’re stuck with the State of New York. Forever. And certain state power simply cannot be taken away, ever. There are legal grey areas but the existence and central rights of the State of New York are something the government of the United States cannot change. That is a degree of sovereignty.
But by comparison, the CITY of New York has no sovereignty whatsoever of any kind. As a day-to-day matter the City of New York exercises great power (it’s a substantially bigger government than many states) but every single power it has, and its very existence, is at the pleasure and whim of the State of New York. of the State government decided to dissolve the City of New York, they could do it. If they decided to take away some kind of right or power from cities, they could do it tomorrow. There’s no ultimate legal barrier; the State of New York could, on Monday, decide to split New York City up into its old five boroughs, or divide into ten cities, or almost anything, and although there’s be legal fights, ultimately they can do it. But the feds cannot dissolve the State of New York.
Indeed, in my home, the Province of Ontario, the provincial government, which exercises some sovereignty, unilaterally eliminated dozens of municipal governments a few years back to create “megacities.” Toronto is an amalgamation of six component cities; those cities were simply wiped from existence with the stroke of a pen. Many other municipalities were eaten up and merged into Hamilton, Kingston, Ottawa, Sudbury et al. They had, ultimately, no choice in the matter. But the government of Canada cannot legally dissolve the Province of Ontario, or merge it with Manitoba, becauyse it possesses legal sovereignty in accordance with the Constitution.
Is a U.S. state or a Canadian province AS sovereign as a totally independent nation state? No. But it has SOME sovereignty, by definition.