Some people believe that by hiding their racial identity it can help them in the college admissions process. You do have the legal right not to report your race, and if you choose to do so, they cannot penalize you for it. However, you should consider whether there is an actual benefit to not reporting your race. If you are sure that your race will not be found out by other means (your name, location, essay, etc.), and that it will not help you, it is fine to not report your race.
These are some programs that are popular among high school students. This is by no means an exhaustive list of nationally recognized programs. Boy’s/Girls States