Is it illegal to be married to a illegal alien?

YES!!! Don't do it! You can be arrested and they will be sent back to wherever.

You will probably not be arrested unless it has to do with trafficking. Simply marrying someone who is already LEGAL is not a criminal offense. However doing so based on money.. like "mail order brides" does violate the INS policy on legal marriages and they will possibly have a VISA revoked if they try to become a perm. resident.