Its probably illegal, but since you don't live in the United States US law doesn't apply really. So go ahead.
Wow... you're wrong on many levels. Allow me to clear this up... It is not illegal at all. You are not violating any law, just Nintendo's contract terms.
If you're a US citizen it is considered tax evasion. I am not sure how tax evasion works with non-US citizens but it is illegal for US citizens.
Proof of tax evasion requires prosecutors to show that the defendant possessed the specific intent to evade a known legal duty to pay. Although I'm not very familiar with tax law, I doubt the IRS or any state level tax administration cares that you're a US citizen who wants access to Japanese or European exclusive video game downloads. Plus, even disregarding the intent requirement, I'm curious why you think this would hypothetically constitute tax evasion for a US citizen.