Do you mean there are no other stores at all? No costco, no natural food places, no mom and pop grocery stores? That's just nasty. I'd leave the state.
Moonlighting cops are a very serious problem, and they have in fact killed suspected shoplifters in the past. That's why I mentioned getting killed. Some states allow them, others forbid the practice. I find it vile, since it allows an LEO to utilize broad peace officer power (including killing fleeing suspects) to protect some private store owner's inventory.
I would not live in such a place. But if you're stuck there you're stuck there. You cannot argue with a cop. Never consent to anything, but don't try to stop them or they'll kill you.