All characters who start out on the Tethir Road are assumed to possess an item known as the Writ of Travel, unless a character chooses to role play otherwise.
Issued at the Tethyrian border, this Writ of Travel is a simple document that endorses an individual as conforming to the lawful requirements for traveling openly in Tethyr. The Writ is typically authored by a knight of the realm, or perhaps a regional official. It is not unlawful for Writs to be provided to dark elves, plane-touched, or even half-orcs, so long as they are found to be free of contraband, evidence of evil worship, or other such things at the time of their crossing the border. A character may role-play crossing the Tethyrian border at just about any point on the map.
The Writ of Travel does not imply citizenship. The Writ of Travel can be stripped from an individual in the course of play, though this isn't common. Such a character is typically deported, or evaded execution, and their returning to or remaining in Tethyr makes them an outlaw.
More commonly, players might elect to play concepts such as invading drow or illegal half-orcs, so they can play as though they did not possess a Writ of Travel. This outlaw role play is not discouraged in any sense, although it is a very dangerous and therefore very exciting course, potentially!
If playing an antagonistic character is appealing to you, you might benefit from this article about it: Antagonists: A Rough and Ready Guide (This Site)