Minnesota naturalization records can be found at the MN Historical Society, located at 345 Kellogg Boulevard West, St. Paul, MN.
http://www.mncourts.gov/district/4/?page=576I live in Washington County, and that is the only place I know of that has them.
Here is the historical society website and FAQ section that gives you information on it.
http://www.mnhs.org/library/tips/personal/faq.html