Most states don't require you to work under a PE, only that a number of PEs certify that you were doing engineering work. All my work experience was at the federal level where PEs weren't required and were extremely rare- my references were all contractors or engineers from other departments that I'd worked with on various projects over the years that vouched that yes, I was an engineer during the time period I claimed eto be, and they had no reservations about my professional qualifications.
If you don't have the necessary experience to qualify for a state, they would likely not grant comity. Someone else posted a similar question about EIT experience and taking the FE and PE back-to-back, that one state just required x years, but the other required x years as an EIT. So, they passed the exams back-to-back and are a PE in the adjacent state, but have to wait until 2 years to get comity in their home state.