Instead of changing nationality, some people create their own small 'country', and that is called a 'micronation'.
Sometimes I didn't like the country I live in, so I thought about emigrating. But I'm young and not that rich, so I thought it would be difficult to emigrate. So one day I declared my home as the 'Principality of Freeland'. Hehe...
Have you ever tried creating your own little 'country' and gathering its inhabitants?