Hm, off the top of my head, what you may be able to do is run an Intersect between the points and US counties layer to append the US Counties information to the points layer. Then, use the Select By Attributes to select for records where the county name from the points does not equal the county name from the appended US Counties information, calculate a No for these records, switch the selection, and calculate a Yes for the reverse of the selection. Perform the same analysis for the state name.