Is it illegal to keep a bearded dragon that has been caught in the wild?

Don't ever let any purchased pet go into the wild when you are tired of caring for it. You could add to some very serious problems with invasive species. Instead, you could change your mind and keep the pet, find someone who wants it, return it to where it was purchased for NO reimbursement in the hope it can be resold, or as a last resort contact a vet who will agree to painlessly put it down. That is sad, but preferable to the nightmares many countries have with invasive species. Also, take this as a valuable lesson about agreeing to start caring for pets. You are not alone; many people take pets that they later decide are not a good fit, and regret that they did it. You were likely the victim of marketing on someone's part; you are not completely At Fault. Not at fault, that is, unless you release the animal into the wild. THEN you are at fault for the consequences.