Not for the purpose of trying to claim it as a sovereign state (silly idea), but as a proof of concept on the volume of material/logistics involved and to stress-test the technology for self sustaining colony infrastructure.
Note that I am not saying we shouldn't also attempt a mars colony, but rather that running a pilot project/proof of concept at Bir Tawil or some similarly harsh environment would be a minuscule cost compared to the actual thing, and may prove very instructive.
It has the advantage of:
standard earth atmospheric pressure and air you can breathe
can go outside without a spacesuit
magnetosphere for radiation protection
ability to extract some drinkable water from the air, even if very arid, if you have sufficient amounts of electricity
relatively easy to transport dozens of tons of cargo to, likely using something like military-type 6x6 5 ton trucks
access to earth based telecommunications systems (geostationary satellites, iridium, inmarsat, etc)
photovoltaic systems can be installed that don't need to be hardened for vacuum