It's not entirely jest. We tend to think of ourselves as "Texans first, Americans second." It's not really a matter of sovereignity, but a matter of culture. Sure, there aren't very many people who honestly believe in Texan succession (although we can legally do it - it was part of the agreement that the Feds made with the RoT when it was incorporated), but many Texans believe in the rights of the states versus the Federal government more than most Americans.
However, a good number of Texans will tell you that Texas should be a republic again, because it's just the culture in which some of us were raised.