Then just gamble at the sites which are not concerned about where a user is from, also make sure that they don't require you to fill up the KYC information or provide any documents, you can check their T&Cs for that. BTC is mostly pseudonymous, so it can only be tracked when buying/selling it on an exchange which require you to provide credentials, use mixers and no one can know whether you send/received bitcoins to/from a gambling site. You can also use VPN for more anonymity, although it is not recommended because you can become a victim of MITM attack.

As for the legality, read this: http://wizardofodds.com/the-legality-of-online-gambling-us