Some of the "states" in the United States are referred to as a Commonwealth rather than State (Virginia, Massachusetts, Kentucky and Pennsylvania specifically). The Wikipedia article for Commonwealth States indicates that there is no legal distinction between these states and other states and no differences in the rights enjoyed by citizens of these states.
However, an article I was reading today speaks of local law enforcement officers who are refusing to enforce any new federal gun laws that may be passed in response to the recent mass shootings around the country. In that article a local official in Kentucky was quoted as saying:
They need to go back and study that. We are a commonwealth. I can ask federal people to leave, they have to leave. I can ask state people to leave, they have to leave.
Nullification of federal laws by states has been tried and challenged in the Supreme Court (see the Civil War) before and subsequently ruled to be unconstitutional via the Supremacy Clause. Therefore, is there any justification to that statement due to Kentucky's status as a Commonwealth?
EDIT: Please do not focus on the constitutionality of any specific federal statute. The question is only asking for a legal difference between states and commonwealths as conflictingly referenced by Wikipedia and the article cited in the question. The origin of the law should be considered irrelevant.