The approximately [325][1] federal Indian reservations are formally and legally called "domestic dependent nations". So, you might consider this "their own countries".

[25 USC (2020)][2]:

> As domestic dependent nations, Indian tribes exercise inherent sovereign powers over their members and territory. 
>
> The United States recognizes the right of Indian tribes to self-government and supports tribal sovereignty and self-determination.

NCSL ([2013][3]):

> The U.S. Constitution recognizes Indian tribes as distinct governments and they have, with a few exceptions, the same powers as federal and state governments to regulate their internal affairs.

[USAFacts.org][4]:

> Tribes possess all the powers of self-government, including the rights to:
>
> • Form a government
>
> • Make and enforce laws, both civil and criminal
>
> • Tax property or sales
>
> • Establish and determine tribal membership
>
> • License and regulate activities within their jurisdiction (including hunting, environmental control, land use, and gambling)
>
> • Exclude people from tribal lands
>
> Tribes cannot declare war, engage in foreign diplomacy, or print and issue their own currency.


  [1]: https://www.acf.hhs.gov/ana/fact-sheet/american-indians-and-alaska-natives-numbers
  [2]: https://www.govinfo.gov/content/pkg/USCODE-2020-title25/html/USCODE-2020-title25-chap46-sec5301.htm
  [3]: https://www.ncsl.org/quad-caucus/an-issue-of-sovereignty
  [4]: https://usafacts.org/articles/how-native-american-tribes-and-the-us-government-relate-to-each-other/