Mamy people implicitly assume that there is only a relatively weak moral presumption in favor of obeying the law. If obeying a law is inconvenient and violating it is unlikely to harm anyone, they believe that violation is morally justified. That explains why most people believe it is morally permissible to violate the speed limit laws, so long as you don’t drive so fast as to seriously endanger other drivers and pedestrians. Strict compliance with the speed limit would be annoying and inconvenient, and make it harder for us to get to our appointments on time. Ditto for violations of various federal regulations that ordinary citizens and small businesses routinely run afoul of. Obeying all of these laws to the letter would be costly and inconvenient, and most people believe it is all right to violate them in cases where there is no significant harm to others.
If you apply this theory to illegal immigration, it becomes clear that illegal immigrants have a much stronger case for violating immigration laws than native-born citizens do for their routine violations of the speed limit and various petty federal regulations. For most illegal immigrants, obeying the law would harm them a lot more profoundly than merely making it harder to get to work on time. It would consign them to lives of poverty and oppression in the Third World, a harsh fate imposed on them through no fault of their own, merely because they were born on the wrong side of a line on the map. And, just like going slightly over the speed limit, merely crossing a boundary and seeking out employment from willing employers does not harm anyone in itself, certainly not in any significant way.
Some illegal immigrants do, of course, harm others by committing violent crimes or by using welfare benefits to which they are not entitled. But to the extent that this is true, it merely means they have a moral duty to refrain from violence or from taking welfare benefits once they enter the US, not that they are morally obligated to obey laws restricting immigration itself.