Questions of personal jurisdiction and venue are very fact sensitive. You should have the matter reviewed by an attorney.
Just because the matter may be filed in federal court does not mean that it is improper to bring it in state court. The plaintiff may elect the forum - if it is appropriate.
You indicate that the plaintiffs and a defendant are "from" a foreign country. However, if they reside here or work here or sell goods or services here, there may be jurisdiction here.
If this answer was helpful, please mark it as helpful or as a best answer. This answer is for general education purposes only. It neither creates an attorney-client relationship nor provides legal guidance or advice. The answer is based on the limited information provided and the answer might be different had additional information been provided. You should consult an attorney.
You can't "change venue" like you could if you were simply going to another NJ county with the case.
You'll need a motion to voluntarily dismiss a pleading in the state court action. Whether you can sue in USDC depends on many factors you have not described. Where, for example, is the dispute centered? And what did the illegal immigrant do to subject herself to USDC jurisdiction?
Complex stuff for which lawyers have done years of study to get a license to practice law.