The Native Guards enlisted in militia service (as clearly outlined in the Aug. 22nd) of the State of Louisiana.
Each CSR clearly states that company members were enrolled for service within the boundaries of the State of Louisiana.

The Pensacola episode (which is not well documented) is a great example of volunteer militia companies and regiments being ordered by their state governors to duty outside of the state. I'm not familiar with Mississippi's arrangement for this period, but do know something about Governor Moore of Alabama and his arrangement with Governor Perry of Florida. Florida militia being insufficient for the task of taking and holding the naval base and military installations around Pensacola Bay, Governor Perry asked the governors of Georgia, Alabama, Mississippi and Louisiana for help. As you mentioned, no Confederate government existed at this time (January 1861), so this was his only alternative.

As authorized by the Alabama legislature, the enabling act says nothing about geographical limits of companies raised under the AVC charter. That being said, we can well imagine the problems involved with militia from one state going into another without prior authorization. Some AVC officers in fact wrote Governor Moore in 1860 to determine if they would ever be needed outside the state, and if their purpose was defensive in nature only. The Pensacola expedition was a rare exception made by agreement between executive officers of two states involved. In any case, most of the Mississippi and Alabama militia that went to Pensacola were home within a matter of weeks (February 1861).