My suspicion is that they do hold water. My other suspicion is exactly what you’re saying.
When and if you wonder a good source of info is the Merck Index. Sodium citrate like many salts will be hydrates with bound water. In one very common source it is dihydrate meaning it contains 2 bound water molecules. The pure salt is 26.7% sodium, but the dihydrate is 23.5% (both trisodium citrate). So it is not a purity thing it is a hydration state thing in this case.