In America every state has it's own flag and constitution.Why?
Each state is a separate legal entity within the union. The original government was structured such that most powers were reserved to each state, but the federal government has systematically usurped these powers over time. See the 10th amendment.
However, each state still retains its own ability to form its own legal and political structure within certain parameters and does so through its constitution.
They also choose to demonstrate their identity with their own flag. This is particularly appropriate since they have their armed forces in the form of the National Guard.