No, but it is an oxymoron.
You can't be a "illegal" immigrant any more then you can be an "illegal" citizen. Both "citizen" and "immigrant" signify someone with a certain legal standing.
There are a number of words like this which are impossible to modify because they either are or aren't.
You can be an Illegal Alien because Alien is a legally neutral term.
Almost Perfect.
Halfway There.
African American.
Getting Prepared.
Almost Dead.