An equivalent with your driving example would be "illegal speeding" (as opposed to, say, an ambulance, which can legally be given permission to speed).
The big difference is that "illegal alien" really does refer to a person simply existing in a country they are not supposed to be in, rather than an action like speeding, hence why shortening it to just the adjective "illegals" works. It describes a state of being, just like "asian" or "programmer".