Neelix wasn't just an ambassador in name only. The episode "Homestead" clearly establishes that he becomes the official "Federation Ambassador to the Delta Quadrant." Now, it's possible he obtained Federation citizenship as part of that role—but since that's never mentioned on screen, I'd argue he didn’t.
So, there is precedent that Federation ambassadors don't necessarily have to be Federation citizens. You could make a similar case for K’Ehleyr, though again, we just don’t know for sure.
It really depends on how technical you want to get. Personally, I believe Curzon Dax was a Federation citizen, based on my headcanon that Trill is a member world. But canonically, that’s never been confirmed (in the Berman era).