Piston and Hatcher in "Wilson's Creek: The Second Battle of the Civil War and the Men who Fought it" page 26 lists the following Volunteer Militias and their date of organization: St Louis Grays 1832, Boone Guards 1832, Native American Rangers 1841, Washington Blues 1857, Montgomery Guards 1843, Washington Guards 1854. These apparently were predominantly Southern leaning and generally anti-german. These were smaller units than the Brigade or Regiments as mentioned before but Snead indicates many of the larger units were formed from these smaller local "club" (my description) militias. See below.
Snead in his writings ( http://www.civilwarstlouis.com/History/MinuteMenSnead.htm ) indicates some of these units may have been the bulk of the men that formed the Minute Men in St. Louis that was officially joined to Frosts Regiment in January 1861
The 851 man roster of the Southwest Expedition is available on the MO SOS site here: https://s1.sos.mo.gov/records/archives/archivesdb/soldiers/Default.aspx#soldierSearch
select Southwest Expedition as both conflict and unit and you will get the whole list.
Rooting around in the SOS files for the Mexican War you will find local militias that formed companies in the larger more formal units. An example is the Oregon MO Mounted Volunteers.The 3rd Regiment was formed in July 1846 and is noted to be formed of "independent companies", such as Smithson's, McNairs, Holt's etc..
I suspect a lot of cross reference work would tease out some lists but the old county history books from the late 1800's may have as much info as any. An example is the Marble City Guards from Cape County in early 1861.
AN ACT to legalize the organization of the "Marble City Guards," and for other purposes.
Be it enacted by the General Assembly of the State of Missouri, at follows:
§ 1. That the organization of the volunteer company at the city of Cape Girardeau, called the "Marble City Guards," and the election of Sam. J. Ward as captain, and of the other officers of said volunteer company, on the 15th day of February, A. D., 1861, be and the same are hereby declared legal and valid as if the same had been held by the division inspector, any irregularity in the organization of said company, or in the election of said captain and other officers to the contrary notwithstanding; and the said Sam J. Ward and other officers shall be commissioned by the Governor of the State, and said company shall be declared mustered into the service of the State, and observe and conform to the law in such case made and provided, and be a part of the miliiary force of this State.
This act to take effect from its passage.
From History of Southeast Missouri, Goodspeed, 1898 "Prior to the beginning of the war a company of militia, known as the “Marble City Guards,” was organized at Cape Girardeau under the command of Samuel J. Ward. In the spring of 1861, after the first call for troops by President Lincoln, the members of the company whose sympathies were with the South went to Jackson and joined Ward's battalion of State Guards, which was organized for the six months' service. "