Things don't even necessarily scale properly at the state level either.
I was going to point out that effectively the U.S. is comprised of a unified batch of nations who have united under one banner under specific terms to achieve goals for the betterment of the group as a whole. Every state has their own set of laws and cultures much like many small nations only the U.S. is one big unified group.
Advantages of a small nation is that is much easier to track and control what goes on in the nation as a whole as well as deal with local problems. It makes nation wide transportation that much more easy. The downside to that is you might have to rely heavily on imports or trade with your neighbors to make up for things you can not make or do on your own.
Larger nations usually have the advantage in shear numbers for large undertakings and access to many resources under their personal sway. they can also have a higher chance of being more self sufficient and not have to rely as heavily on their neighbors as a smaller nation would.
Of course you can't ignore factors like geography, climate, and resources available in assorted areas.