I don't think there's any such thing as a legitimate local militia anywhere in the US. Groups that call themselves such are inevitably just some flavor of right-wing nutjobs, and both state governments and the federal government tend to take a rather dim view of them in any case.
If you want to start your own, get ready to be labeled a domestic terrorist(s) instantly.
Arm yourself and learn to handle a weapon effectively, by all means. Just, the avenue you proposed is not very realistic.