"Tribal sovereignty means that it's sovereign," Bush replied. "You're a -- you've been given sovereignty and you're viewed as a sovereign entity. And therefore the relationship between the federal government and tribes is one between sovereign entities." Link.
It's even better if you hear the audio clip posted at Majority Report Weblog, so you can better sense the fear in his voice. Then the ensuing laughter is fun too.
In case you were curious what tribal sovereignty really is:
An Indian Tribe is a distinct political community. A Tribe retains its inherent powers of self-government absent action by Congress to limit those powers. A State cannot limit the powers of a Tribe.
The source of Tribal powers rests in its people. Tribes have had the inherent right to govern themselves "from time immemorial". See Worchester v. Georgia, 515, 558 (1832). Tribal governments have the same powers as the federal and state governments to regulate their internal affairs, with some few exceptions. For instance, the Tribes have the power to form a government, to decide their own membership, the right to regulate property, the right to maintain law and order, the right to regulate commerce, and so on.
I guess that in a very circular, non-answer sort of way, he was right. They are sovereign entities...