I agree that they probably never applied for citizenship and I couldn't find any immigration records either. I took their census report of the date, and the reason I thought it was relevant for someone doing a search in Lithuania is that there's no point for them to search in any dates past the time they departed. ;)
After I wrote my last post I found this interesting page.
My own family got some good info from the Lithuanian Archives by sending something similar to what I suggested. However, we did this back in the 80s or early 90s, before a lot of the current genealogy craze and turnaround was very reasonable. It sounds as though the turnaround time is now quite long.
Be sure to read the comments on the first two pages also.
It's a shame there's no way to post images here as I would like to be able to show the information my family received. We were thrilled when we got it.