Here is a possible strategy on how to find such an example (non-smoothable, immersible).
Find a closed 4-manifold $M$ with $k(M)=0$ (here $k$ is the Kirby-Siebenmann invariant), but non-smoothable (by Donaldson's theory or via SW invariants), $\pi$-manifold (see below).
Recall that $k(M)=0$ implies that $M\times {\mathbb R}$ is smoothable. For instance, if $M$ is the connected sum of two $E8$-manifolds, then $M$ is not smoothable (Donaldson), but $k(M)=0$ (since $k$ is additive under the connected sum).
Definition. A manifold $M$ is called a $\pi$-manifold (I think, the terminology is due to Hirsch) if $M\times {\mathbb R}$ is smooth and parallelizable.
Now, by the Smale-Hirsch theorey, each parallelizable manifold admits an immersion in the equidimensional Euclidean space. Thus, if you manage to find $M$ satisfying all these conditions, there is an immersion $M\times {\mathbb R}\to {\mathbb R}^5$, hence, a flat immersion $M\to {\mathbb R}^5$. At the same time, $M$ is not smoothable.
Unfortunately, $M$ equal to the sum of two $E8$-manifolds is not a $\pi$-manifold, so one needs to dig deeper. What you need is:
A compact connected nonsmoothable 4-manifold $M$ such that $k(M)=0$, $M$ is spin (i.e is orientable and has even intersection form) and has zero signature.
Such $M$ should be be a $\pi$-manifold. (Since spin implies almost parallelizable, while vanishing of the signature implies that $p_1(M)=0$, together these should imply a $\pi$-manifold, see Proposition 8.4 of A.Kosinski, "Differential Manifolds". The caveat is that the proof that we get a $\pi$-manifold assumes that $M$ is smooth; it remains to be checked check if the proof can be modified to work with topological tangent bundle.)
I can neither find such $M$ nor verify that it is a $\pi$-manifold. It is worth asking about existence of such $M$ and if it is a $\pi$-manifold (provided it exists) on Mathoverflow if you are serious about the question.