We are loyal to Ha-Shem. Centuries and millenia ago, before there were Americans or Zionists, we were Yidden and Ha-Shem was our king. Centuries and millenia from now, when only historians know what an American or a Zionist were, we will still be Yidden and Ha-SHem will still be our king.
In countries such as the United States, where the nation exists be virtue of a contract between the government and the governed, being adherents to such a contract poses no halachic issue, and if the government ever goes off the derekh, then the contract is batul. In other countries (most of them) where the government is based on a concept of loyalty based on birth or ancestry, it is more of a problem since such countries expect loyalty based soley on where you were born or your ancestry.