While it is true that federalism is a wrong term, but there exists a general idea of independence of different levels of government. I am not sure about US constitutional arrangement, but in country where i live there there is clear and explicit concept that municipal, province and country (executive) governments are independent of each other, not subordinate. Therefore, it would be inappropriate for city to get a subdomain managed by higher-level government entity.

There's not federalism within states in a legal sense the way there is between states and the feds, but cities value their independence too and prefer to have their own infrastructure. I would expect the city, rather than the state, to be the reason they don't use a subdomain of the state's .gov domain.