We know definitively that Worf has Klingon citizenship. In the episode Sins of the Father, Worf goes to Qo'nos to defend his father's name against a charge of treason. That the Klingon High Council lets him do so speaks to the fact that still considered him a citizen, even though he was in Starfleet (the theory was that his new life would keep him from challenging the charge). Worf then effectively abandons the citizenship at the end of the episode to save his brother Kurn and prevent a civil war with the Duras family.
Worf still has dealings with the Klingons afterward. Some notable things showing he's still a Klingon citizen
- Worf joins the Klingon Civil War to fight along side Gowron, who had just become the High Chancellor. As a result, he restores his father's name.
- The episode Firstborn has this line, which indicates a (potentially future) Worf has some role with the High Council
K'MTAR (Future Alexander): You don't understand. I did not become a warrior. I was a diplomat, a peacemaker. When it came my time to lead our family, I thought that I could single handedly end the fighting between the great houses. I publicly announced that the house of Mogh would be the first to end the feuding. That there would be no more retribution, no more revenge. You tried to warn me. You tried to tell me that I should not show weakness, but I thought you were a foolish old man. I told you that you were a relic from an earlier time and that a new era of peace was at hand. But you were right. My enemies saw my weakness and moved against me. And unless I stop it right now, that boy will see his father killed on the floor of the Council Chamber.
Federation citizenship is a bit murkier, but it seems implicit that Starfleet officers are also Federation citizens, given that Starfleet represents the Federation's interests (it would make no sense to station a non-citizen inside the same ships you use for war, especially if you wind up needing to fight them at some point). The TNG Episode Redemption has this exchange
PICARD: Mister Worf. I'm afraid I must recall you to duty. The Enterprise will be leaving this sector immediately.
WORF: Captain, I respectfully request that I be allowed to take an extended leave of absence.
PICARD: Mister Worf, your responsibilities as a Starfleet officer are incompatible with remaining on board a Klingon ship during a time of war.
PICARD: I order you to return to duty at once.
WORF: Then I resign my commission as a Starfleet officer.
Worf wanted to aid the Klingons during the civil war, and thus abandons his Federation position, and by proxy, his citizenship. Even if something were to happen to him (which it does), the Federation could not interfere on his behalf.