I was pathologically shy until my late 20s. I didn't even kiss a girl until I was almost 30. In my case it had nothing to do with being an immigrant; I was just plain and simply shy. I am no longer shy. I am still an introvert, and thus I am not super-outgoing, but I no longer live in constant fear of embarrassment, etc., and I am not lonely. My basic point is: Don't give up hope. Shyness certainly is something that can be overcome.
One suggestion: Stop blaming your shyness on "being and immigrant." I can certainly see where that could add extra weight to the problem, but I suspect that the problem itself runs deeper. As I see it: Shyness is fundamentally a form of fear. You could be courageous in various other ways, but still be paralyzed by fear that is rooted in social anxiety. So what I'm suggesting is that you focus on techniques for overcoming fear. For example, you might consider reading (or watching internet videos) Susan Jeffers "
Feel the Fear and Do it Anyway," or perhaps some similar books or internet videos focused on overcoming fear. Another option might be:
Start Where You Are: A Guide to Compassionate Living by Pema Chodron. Chodron's book focuses on developing courage through Buddhist-style compassion.
My wife is a counselor. I don't know the details of her approach, but I do know that she starts with small weekly "homework" assignments. Based on the particular situations in a person's life, she will suggest small goals, and then gradually increase the difficulty of the assignments over time. I don't know your particular situation, but you might try this approach for yourself - start with some very modest goals, then step up to harder goals over time.
And, finally, a couple of insights from my own difficulties with shyness. In may case, becoming involved in social activities was a first step. I was in college before I even tried this, but I could have started in high school, if I had know the types of things I mentioned above.
As for getting to know women, in particular: In my case, the biggest factor was learning to open up and let women know who I was and that I like them. I was embarrassed to admit that I was attracted, so I did crazy things to try to hide my feelings of attraction. You don't have to become an emotional "drama queen," but it does help to let some of your emotions be known, especially if you find yourself in a one-on-one conversation with a woman. I don't mean whining about how lonely you are - that is not a good approach! But be sure that she knows you are attracted to her - flirt, offer heartfelt compliments about her
personality that let her know why you find her attractive, etc. For example: "I love that you're so smart" or "I love that you're so athletic" or whatever. Be sure to aim at things that you can be
sincere about. False compliments are manipulative and can often backfire and make you look like a idiot. Most women are especially good at picking up on body language. Some men have mastered the art of manipulation - please don't take this route. Developing compassion and focusing on sincerity are infinitely better in the long run. Look for things you have in common with people, ask questions, and be sure to listen. If you are focused on what you want to say while someone else is talking, you will miss - or immediately forget - certain important details. Most women will be impressed if they discover that you have actually listened to them. Again, your motivation should be compassion, not mere manipulation. You'll be better off in the long run.
And one more thing: You seem to see being an immigrant as a problem, but it could be a strength. Having been in foreign countries can be seen as exotic. Don't overdo it, but if people show any interest in places you've been, this can be a good way to get into a conversation and/or keep one going.