You'll need to work on two projects aside from classes:
1. Lies. Make up a Christian club or something else that sounds innocent, and claim to have joined it. Make friends with whom you can be honest about who you are. Tell your family that group photos are photos of the club, and if they get too inquisitive ask a friend to pose as a member on the phone, and if necessary explain that they haven't registered with the university or whatever because they don't see a good reason to do so. If they continue to insist on trying to talk to the (entirely fictional) leadership, say you'll see what you can do but you don't want to make people angry and get kicked out of the group, etc. Standard lies that make you seem like you're trying to be helpful, but that there are risks your parents might not actually want you to take that are beyond your control if you press it too hard.
2. Financial independence. Lies will only get you so far. You may or may not be supported by your family while studying. If you are, you need to find a way to save up enough to transition to supporting yourself, so that they have nothing to threaten you with. When it comes to immigration stuff, do your best to avoid giving your parents any authority over the process. However, I will say that if you're feeling particularly vindictive, and loans are involved with your plans, you should get them to co-sign for as many as you can. It seems unlikely that they would, but even though you still shouldn't default on them (it looks terrible on your financial history even if the legal burden passes to them), it can be a nice bit of leverage. Especially if they don't understand the parenthetical not up there.