I agree with my colleagues. If you do not file taxes when you are required to do by law it can have negative consequences for your immigration case down the road or present case currently whatever that may be. So, yes, file taxes - consult a CPA and if you have an immigration attorney, which you should if your case is pending, provide the attorney with a copy of your duly filed taxes. Consult an AILA attorney if you don't already have one for your immigration case: www.ailalawyer.com
No attorney-client relationship is created or implied by this communication in any way. Consult a competent immigration attorney preferably one who is a member of the American Immigration Lawyers Association (AILA).