So you still haven't found your ancestor? Let's start fresh. Make a list. What do you know about your ancestor. What do you want to find out? So you know the name, the parents but you don't know any siblings, place of birth, nor place of birth of parents. Now make a list of places you want to start searching. Think of people with the same surname who lived in the same area. Are they related? Search for those people. Make a Research plan.
You probably know this from working with the census but just in case... the initials on the census may confuse you. In the 1900, 1910, 1920, and 1930, the person's naturalization status is indicated by "AL" for alien, "PA" for first papers, and ""NA" for naturalization. Look for those initials. They will indicate whether you should look into the naturalization documents.