As far as I know if you challenge jurisdiction and they don't formally resolve the matter of jurisdiction before they move on to any other proceedings they have to dismiss with prejudice.
I found a while ago an audio program where some guys discussed that point and detailed all the old SCOTUS cases where that very fact came up. I'm going through the network of sites where I found it, I'd seen a few months ago it was still up and I'll link it if I find it, but you know how those old school sovereign sites are about as organized as their legal briefings...
But should the cases still be precedential, you should have grounds for an appeal.
Also, I believe stopping you in the middle of your argument may be a violation of your right to defend yourself in court as well as due process.
[Edit: I found it It's an old school but post-posse sovereign thing, but that's no reason to disregard it. A lot of the older sovereign arguments before sovereignity became cool made at least some sense.]
It's based on the "Pennoyer Rule." The 2 hour mp3 explains the rest. But if it's something you want to challenge, by all means go for it.
http://usa-the-republic.com/audio/jurisprudentia/TrueSpeech/jurisdiction_(DSP).wav
This is the page I got it from. I wouldn't vouch for ANYTHING else on the page, but that's where I found it.
http://usa-the-republic.com/audio/index.html#Law