re: Missourians, what do you consider yourselves?

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One of the most pro-Union parts of the South was East Tennessee.

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and Winston county, Alabama tried to secede from the state claiming "If a state has the right to secede from the Union, then a county has the right to secede from the state." That being said the state of Missouri did not secede during the civil war.
Edit: Further research I discovered I was both right and wrong about Missouri and secession.

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During the American Civil War, the secession of Missouri was controversial because of the disputed status of the state of Missouri. During the war, Missouri was claimed by both the Union and the Confederacy, had two competing state governments, and sent representatives to both the United States Congress and the Confederate Congress. This unusual situation, which also existed to some degree in the states of Kentucky and Virginia (with West Virginia), was the result of events in early 1861.

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In the town of Neosho, Missouri, Jackson called the state legislature into session. They enacted a secession ordinance, recognized by the Confederacy on October 30, 1861. So technically yes and no, the state governor and all the southern supporters did in fact secede and set up a government recognized by the south.

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