I'm sure that the answer varies considerably from state to state depending on exactly how the regulations are worded. Here in WI, there is a list of protected species for mammals, reptiles, and birds. (All wild birds are protected unless specifically mentioned in the regulations)
If an animal is not specifically mentioned in the regulations and is not otherwise endangered, threatened, or protected, it is legal to shoot.
You had better know what is or isn't on the list.
And most important of all, don't base your decision on what you read from someone else's opinion on the internet. Look up your own states regulations and read and understand them completely.
I know your discussion was probably more for the sake of argument than a real question, but I would also wonder what the purpose of shooting an animal would be. Killing something just because it is legal is not enough in my mind. Would you eat it, or is it an invasive species of some kind?
A number of years ago there actually was a kangaroo captured not too far from where I live. They never did figure out where it came from, and it went to a zoo somewhere I believe. But if it had walked by my tree stand before being caught, I can't imagine that I would have killed it on sight just because I could.