That's because it's a lie.
The substance of your response is brilliant.
It’s not a lie. Mary and Joseph had to flee to Egypt to avoid the Christ Child being killed by Herod. He was an undocumented refugee in Egypt from his homeland of Israel.
Do you want the Bible lines?
When the magi had departed, behold,
the angel of the Lord appeared to Joseph in a dream and said,
“Rise, take the child and his mother, flee to Egypt,
and stay there until I tell you.
Herod is going to search for the child to destroy him.”
Joseph rose and took the child and his mother by night
and departed for Egypt.
He stayed there until the death of Herod,
that what the Lord had said through the prophet might be fulfilled,
Out of Egypt I called my son.
When Herod had died, behold,
the angel of the Lord appeared in a dream
to Joseph in Egypt and said,
“Rise, take the child and his mother and go to the land of Israel,
for those who sought the child’s life are dead.”
He rose, took the child and his mother,
and went to the land of Israel.
But when he heard that Archelaus was ruling over Judea
in place of his father Herod,
he was afraid to go back there.
And because he had been warned in a dream,
he departed for the region of Galilee.
He went and dwelt in a town called Nazareth,
so that what had been spoken through the prophets
might be fulfilled,
He shall be called a Nazorean.