So long as you are on the State or US highway passing through tribal lands, you are considered to be on State land and under the jurisdiction of the State for purposes including gun laws.
The moment you leave the State or US highway including to buy gas, stop at a hotel/casino, go explore that interesting side road, etc, you are now fully on tribal land and fully subject to their laws until such time as you get back onto the US/State highway.
The gray area in my own mind--that has never come up--is a situation such as stopping on the shoulder to change a flat, or perhaps even to buy something from a roadside salesman. My thinking is that the State/US right-of-way is wider than the actual pavement, probably extends to the fencing (if any) 10 or so feet off the pavement, and I'd still be under State jurisdiction. But I do not know this for sure and would love for someone more knowledgeable to bring up to speed.
I do my level best to avoid giving any reason whatsoever for tribal police to stop me while traveling through tribal lands on US/State roads. And I generally avoid venturing off those roads onto tribal lands proper.