I want to replicate THIS jlink debugger according to my own needs. But I can't find it's schematics and firmware anywhere.
Is illegal to replicate it or distribute it's source? If no, then where can't I find it's schematics and firmware.
The J-Link hardware design and firmware is proprietary to Segger. Some Chinese manufacturers seem to have managed to copy it to some degree or another, but the methods they've used are not public.
There is no legitimate way to make your own J-Link programmer. If you want to build your own JTAG debugger, designs and firmware are freely available for the Black Magic Probe.