I will leave this for someone else to answer fully but I just wanted to point out that the grass is always greener on the other side, sometimes some people seem to be enjoying themselves a lot or to "have it all" but in fact they are very unhappy. For instance, there are some people who are exceedingly rich but suffer from drug addiction, loneliness, family breakdown, etc. Does their wealth help them to avoid suffering from poverty? Certainly. Does it bring them full happiness beyond that? Not in and of itself; once a person's basic needs are met, happiness comes from other things.
There are "religious" people who are happy, "religious" people who are unhappy, non-religious people who are happy, non-religious people who are unhappy, etc. It is true that the Muslim world is having a particularly difficult time these days (due to the global economic/political arrangement) but this is something new and not the same throughout time relating to being religious or not.
While it is certainly possible for a practising Muslim to be in a very difficult situation, at least, adhering to shariah will help avoid certain things that can make life worse, such as suffering from alcoholism (inshallah at least it is avoided). Also, faith is usually a resource that people draw on in times of difficulty.
Also it is true that it can be difficult to be a minority, and so being a practising Muslim in a country where you are a minority can add certain stresses, at the same time there are usually some advantages you get from that that others lack even if it seems like everyone else is having an easier time because they don't have to worry about prejudice, etc.
Also there is a difference between being religious in name versus in ethics and principles. Some people call themselves "religious" because they do the outer aspects of Islam (such as reciting prayers on time or fasting) but they do not embrace the ethics and ideals of the Prophet (S), such as kindness, compassion, generosity, humility, forgiveness, standing up for justice, contributing to society, bravery, etc. Generally those values are what make individuals and the people around them happy. Of course one should embrace both the outer aspects of Islam and the ethical or inner aspects.
As for complaining to Allah... it doesn't affect Allah if we complain to Allah. Even if, say, you are fishing and not catching enough fish, and you stand in front of the ocean and complain to the ocean, it doesn't affect the ocean, because the ocean is giant and you are not. And Allah is vaster than the ocean. However it is not healthy for ourselves to be angry at Allah for a long time. Still it is fine and even good to tell Allah that you are having a difficult time or are in pain or are suffering or feel lack and in need of a change. Sometimes Allah just wants us to ask!
Anyway everyone goes through hard times, particularly right now a lot of people are going through tough times, I hope things get better for you if you are having a difficult time. After every winter, there is a spring!