Your immigrant ancestor might not have even bothered to become an American citizen–particularly before the naturalization reform of 1906. Voting was the main benefit that came from citizenship. Unnaturalized aliens could usually own property, bequeath property, etc. without becoming American citizens (check contemporary state statute to be certain). If you are unable to locate a naturalization for your 19th century American immigrant and you have looked diligently for it, it may that your relative never bothered to naturalize.
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Thank u, that will be helpful when I look into some of my families whereabouts about that time.