Hi Brian,
First off I am not an authority on tax exempt organizations. Secondly, I wouldn't want Eric to accuse me, a CPA, of practicing law. . Thirdly, I am giving you my thought off the top of my head. That being said, I will attempt to answer your question.

Any foreign chapter would have to incorporate in their own country. It than would be subject to the laws of that country. Even if it were to become a "feeder" with its income "given" to our organization it would not be considered tax exempt within our country.

In my opinion, it would be better to pick one of our chapters and join a "local" chapter within the States.

Best, Mr."P"