For what it's worth, Ron Moore said in one of his AOL chats that Nog was probably a Federation citizen. Granted, it wasn't on screen, but it's a similar situation to Worf (species that's not a member of the Federation but individual who is serving in Starfleet.
Yet Mr. Moore must be aware that in his own show, Sisko patently stated Nog was not a Federation citizen.
Worf must be a naturalised citizen, and being a Federation citizen per se is not required to serve in Starfleet. Even in some countries in real world, citizens can serve in other nation-states' armed forces. As a Commonwealth country, an Australian can serve in the UK armed forces if s/he opted to.