How about I remain an illegal immigrant.
Why are you an illegal immigrant?
Because they won't except me as a US citizen. I'm sad about my future.
It's understandable to move to a different country where you feel like you could provide a better life for yourself or your family, but if you're living in a country illegally then you should try to find a legal path to residency. If you remain in a country illegally, then you'll have a difficult time receiving federal services, and you may even be subject to criminal deportation.
I don't have time for a residency, I need to study.
I know studies are taking up most of your time, but if you don't become legal all the studying that you're doing may be for nothing. I would highly recommend focusing on gaining legal citizenship that way you no longer have to worry about it.