So I'm from Saudi Arabia and I'm a terrorist but I say I'm from Yemen and I'm being oppressed.

Why do that? Why not just get a fake passport and hop on a plane to New York? Why risk starting off your journey in government detention, subject to multiple interviews to persuade multiple government officials that you are from Yemen and are being persecuted, or risk remaining in detention indefinitely if you fail your credible fear interview or if your lack of documentation puts you in detention pending your final hearing (which is the most likely outcome? Why not instead have a 90-second conversation at the customs desk in LaGuardia, where they're processing literally 10K international passengers every day?

Again, there's no advantage to this. If your terrorist is adept enough at dissimilation to be able to bluff his way into the U.S. as a Yemeni asylee, he's more than capable of managing the arrivals counter at an international airport. There's no need to give him the handicap of starting in the worst possible place - in potentially indefinite detention and requiring multiple interviews to be released, which release is exceptionally unlikely unless he's got an excellent fake passport. In which case, why are you bothering?