The word “sovereign” means “above all kings.” Orthodox Jews, at least some of them, hold that Ha-Shem is our “sovereign”, not a medinah. If you are a nationalist, it means you hold that your state is number one, that it is not bound by any laws other than those of its own legislature. Almost by definition, a nationalist is holding that Ha-Shem’s laws are not supreme, since if they were, the state would not be “sovereign.” Zionism, the Jewish nationalist movement, by definition rejects that idea (thus the zionist sing that now they are a people free of Ha-Shem’s laws, the infamous עם חופשי verse in the zionist anthem).
P.S. And even if you hold Ha-Shem gave Eretz Yisrael to the Jewish people, according to our traditions it was a conditional gift to allow us to do mitsvos, and wouldn’t cover a secular state whose whole raison d’etre is doing averios.