Yeah, fraud is what I call "Not a good thing". The feds aren't pleasant about that particular one.
She apparently won't talk seriously about this, so follow her lead: don't talk seriously about it. She mentions getting married to commit visa fraud, you treat it the same way: as a joke. "haha! Yeah, that'd be hilarious! We can do prison time together! We could have matching cells, too..." "We could do that, but my parents demand 6 cows, 2 sheep, and a ferrari before they sell me off for visa fraud. I think I can swing the livestock..." "Wow, a 'male-order' wedding...". Let her decide to be serious about it - as long as you approach it with the same level of levity, or even more, she'll understand that you don't take it seriously.
I'd add that she could be joking about this, albeit a poor and long-running joke. Taking this too seriously, if it is indeed an attempt at humor, may risk your relationship as well. Enjoy it, have a laugh, and keep in mind that until you both sign a marriage certificate it's all just talk.
@fr13d has made an excellent point that I would like to add: Just be careful about how far you play along so you don't miss the opportunity to say a quick and earnest "no" to her.