my experience as non reilgous living in saudi arabia (extremely religious country)

[viocjit]

I'm not sure why you wouldn't trust an embassy.  Part of the reason they exist at all is to help people emigrate.

The rules for immigrants vary from country to country.  You should probably do some research before you decide.  And no, I wouldn't recommend just showing up.  What you might try is going on holiday to the country of your choice and then applying for citizenship. 

But, as I said, do some research.  I've never heard of a country requiring that you announce your atheism to the media.

Boru

Help people emigrate isn't a mission of embassies but they have the mission to give visa to people who have the right to emigrate in the state they represent.
Emigrate is a right but it is also a privilege because a state can refuse your candidacy even if you fulfill the legal conditions to emigrate into this state.

You can't going on holiday to the country and then applying for citizenship because you need to fulfill conditions.
In the majority of countries of the world the conditions are the next.
1.Live there legally for a certain duration (5 years in the majority of countries of the world)
2.Pass a language test of a language spoken in the country
3.Being of good character (That means no criminal conviction at all or no criminal conviction since a certain duration. Convictions in foreign countries for things that aren't criminal infractions in the country the person is applying for citizenship are generally not taken into account)
4.Have a work in the country you are applying for citizenship or have sufficient money

In some countries like Antigua and Barbuda , Cyprus , Malta , Montenegro , Saint Kitts and Nevis , Saint Lucia and many others.
There are programs of citizenship by investment but this way to get a citizenship is cost full and unaffordable for the majority of us.