It is definitely not always illegal to shoot at an unmanned drone in every jurisdiction within the USA. For example, recently I saw a video where a man had his friends fly drones while he and others shot at them with a variety of weapons. There was a whole lot of room around him, so he wasn't endangering anyone or anyone's property other than the willing participants.

With regard to the recent case in Kentucky, I'm not a lawyer and I don't play one on the Internet. I have read some serious legal scholarship by actual lawyers who think the shooter may well have been within his rights. It hasn't come up in any classes I've taught but I would advise my students to not shoot at drones outside of some very unlikely corner cases.