I am not sure about most states, but I do know some states require you to be a U.S. citizen. Several states will not issue a concealed weapons permit to non citizens and in some it is a felony to own one if you are not a citizen. There are states that do allow purchase with a Alien Firearm License. Here are some links that might help.
http://www.vrolyk.org/guns/alien-laws.html
http://en.wikipedia.org/wiki/Gun_law...ates_(by_state)

Good luck and enjoy.