The Glorified Allah commands:
“Believers should not take the ignorers as more intimate friends than the believers. Whoever does it can not expect anything from God, except those who do it in order to protect themselves. God warns you of Himself. God’s presence is the destination.” (Al-e-Imran/Family of Imran 3:28)
You are not leaving the alliance of believers for the alliance of ignorers, on the contrary, this attitude of yours provides you with a safeguard.
Allah Almighty gives the following clarification in accepting the friendship of disbelievers:
“God does not forbid you from showing kindness and behaving equitably to those who do not fight you because of your religion and do not drive you out from your homeland. Indeed, God likes those who are equitable.
God only forbids you from making friends of those who fight you because of your religion or drive you out from your homeland or aid in driving you out. The ones that make friends of them are the wrongdoers.” (Al-Mumtahinah/The Examined One 60:8–9)
Those countries do not interfere with your religion. The prevalent law allows all to live as they believe. They have not committed the prohibitions mentioned in the verses. Hence the claims you have made above are unfounded.
However, if the countries you reside in, make a jest or mockery of your religion, you are prohibited to take up their citizenship. Allah Almighty commands:
“O you who believe! Do not make intimate friends of those who make fun and sport of your religion among the ones who were given the Book before you, or of the other ignorers (kafir). Fear God if you are believers.” (Al-Ma’ida/ The Feast 5:57)