Because that would be illegal.
I presume you're talking about "sanctuary city" policies. These policies aren't "making up their own rules" wrt illegal aliens. Federal law still fully applies in these states. What sanctuary city policies do is limit, to some degree, the amount of cooperation which local authorities will give to the feds in enforcing immigration laws. So, for example, the LAPD will not ask someone about their immigration status unless such information is relevant to a crime which they have committed. Also, under court order, the West coast states cannot detain illegal immigrants who are in custody beyond their legally mandated period in order to make it easier for ICE to pick them up. Other areas do other things but this is all about deny access to local resources. These policies are 100% legal, because state and local governments have authority over how they spend their resources. This is an idea which conservatives used to believe in: local autonomy and sovereignty as opposed to centralized federal control. While conservatives may find the political aims of these policies distasteful, they are totally legal and the structure of them, if not the ends, are completely in line with conservative thought.
On the other hand, while sanctuary city policies are legal, denying people passports for the political policies of their states is not. There's simply no law which allows the State Department to refuse to issue passports to individuals based on the policies of the state in which they live. The government doesn't have the power to do that. Nor would you want them to. What conservatives need to think about when they advocate various violations of laws and norms in the age of Trump is that what's good for the goose is good for the gander. Everything which Trump does now, or which you'd want him to be able to do, can be used later by Democrats to enforce their policies. So you'd like to see the federal government withhold passports as a way of forcing liberal states to allocate their resources to enforcing immigration laws. I understand that impulse. But if the government actually did that then it would also be possible for them, once a Democrat is back in power, to do something like withholding passports in order to force a state like Texas or Alabama to, say, implement various policies on global warming. That's not the kind of society you want. In fact, as a conservative, you should be especially wary of increasing the power of the federal government to force people and states to act in a certain way and of the president to act unilaterally to implement policy. This isn't just because limited government and local control are conservative ideals. It's also because you guys are in the minority. Republicans have lost the popular vote in six of the last seven presidential elections and the demographics are getting worse for you. If you don't want liberals to force their ideas on you then you're going to need the rule of law to robustly protect you.