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I have a list of candidates whose parents were immigrants. It doesn't go back very far, though; only to 1968 for nominees, and 1996 for candidates.

Establishing if or when those immigrant parents naturalized isn't easy. Naturalization records are hardly comprehensively available online. And because nobody really cared about a Presidential candidate's parents' citizenship until 2008, it's often not mentioned in online profiles of the candidates. And there are a LOT of candidates to sort through. Heck, it's often not mentioned for men who actually served as Vice President.

Take Mike Gravel, for instance. He ran in 2008, both of his parents were immigrants from Quebec, but I have no idea when or if either ever became US citizens. No one ever asked.

I do know for a fact that Bill Richardson's mom never naturalized. She was and still is a Mexican citizen.

He's not a major candidate, but I know for a fact that Andy Martin's dad didn't naturalize until he was 5. And he's run before and has already declared his candidacy for 2012.

Chester Arthur, we all know. James Buchanan's father was an immigrant, and I don't know of any evidence that he ever naturalized.

And John Charles Fremont, the first Republican Presidential candidate, was the son of a rather disreputable French immigrant who almost certainly did not naturalize. This was also definitely public knowledge at the time, because the relationship between his parents when they met (privileged mother, low-life father) was somewhat scandalous.