"Nosotros no somos ciudadanos."
Translation:We are not citizens.
i imagine most people would assume a national context because of visa requirements and risks of deportation. If a person in Madrid says she is not a citizen, then people would assume that they are also not citizens of Spain. And if a person said, "no soy ciudadano de Madrid", a person might assume the the lack of citizenship extends to a national level beyond Madrid. Maybe it's best to say something like, "no somos de esta ciudad" (we are not from this city)
Thanks Jeremy for the relevant explanation.
Interestingly, the English word "citizen" has the word "city" as its root as well. This is probably from all the way back to when cities were essentially their own county (city-state).
So, the English is really not all that different from the Spanish on this one.