Moscow on the Hudson (1984) on Netflix

Vladimir Ivanoff is a saxophonist with a Moscow based circus. Unlike his best friend, circus clown Anatoly, who hates all about living in the Soviet Union, Vladimir is generally content with his life, seeing the things with which he has to deal, such as standing in long lines for such basic items as toilet paper and shoes that don't fit, just part and parcel of his Soviet life. The circus is traveling to New York City for a show, during which time Anatoly plans to defect, which may be the worst kept secret within the circus, especially as their KGB handlers want Vladimir to spy on Anatoly about such plans. But when push comes to shove, it is Vladimir who senses an opportunity to defect, he doing so despite knowing that he will probably never see his family or friends back in the Soviet Union ever again. Vladimir has his own view of the American dream, the general concept of freedom which appeals to him the most despite not truly understanding what it means. He finds that almost everyone he meets, all immigrants in one form or another, all have their American dream, their own pursuit of which which may be incompatible with his own fulfillment of being an American.