I'm betting you'll find the only two species that aren't federally protected are the English Sparrow and the Starling. I know there are exceptions for some exotics.
Call the federal wildlife guys as they are the ones who will prosecute you for shooting a magpie. They got a guy a few years back over by Rifle for shooting them as they were stealing dog food and someone called the cops and the Feds charged him for shooting them.