I'm not an expert on Tribal Law but my understanding of US history is that early Americans made a point of refusing to recognize Native American political organization as equivalent to that of a typical "state." You can trace this to John Locke's labor theory of property, which argues that we create property by putting our labor towards natural resources. Because the white settlers did not observe native agriculture they concluded that they could not own the land, and without land, how can you have a state.

That's the background answer to your question. The direct answer is probably just that Federal laws governing reservations prevent them from achieving statehood. Note that states have always been formed out of existing US federal territories and that reservations are outside the normal jurisdiction of state and federal governments.