BEIJING—When plainclothes agents on Saturday boarded a train and snatched a Hong Kong bookseller who was traveling with Swedish diplomats, it was just the latest turn in a saga that underscores the tenuous legal status here of Chinese who acquire foreign citizenship.

Gui Minhai, a naturalized Swedish citizen and Hong Kong-based publisher of political gossip, had been released from Chinese custody only three months ago. In 2015, he had vanished from his vacation home in Thailand and reappeared in Chinese custody, jailed on...