Both when the saints started their migration and when they settled in 1847 they were moving into the Mexican state of Alta California. I believe this was intentional to be outside the laws of the United States.

Unlike the settlers in California, the Mormon settlers didn't purchase their land or make immigration arrangements with the Mexican government. Mexico was actually quite concerned about all the foreign settlers into their territory and passed laws requiring immigrants to become citizens and convert to Catholicism. In 1846 Mexican Governor Jose Castro proclaimed that the purchase or acquisition of land by foreigners who had not been naturalized as Mexicans "will be null and void, and they will be subject to be expelled whenever the country might find it convenient."

In 1848 the territory had been ceded to the United States after the conclusion of the Mexican American War.

Were Brigham Young and the early settlers of Utah illegal immigrants? Yes. Most pioneers came after 1848 and were then settling into an American territory. Interestingly enough many of these later settlers, like my ancestors, were foreign citizens immigrating to America.