When painting with a roller sometimes it feels uneven, like the cross-section is an oval rather than a circle. What am I doing wrong?
As some have said cheap can be a problem, are you loading the roller with paint evenly and working it on the cross hatched section of the pan?  I will roll into the paint lift and back up roll into the paint 3 or 4 times depending on how full the tray is. After loading I roll on the crosshatching or ribbed section lift and roll to even out the load of paint and reduce dripping.
With good technique even a cheap roller will provide even coverage and with bad technique the most expensive roller wont make a difference. 

As we can’t see what you are doing try paying attention to how you load the roller, this is how my dad showed me decades past and even though I hate painting I can do a nice even job using this method.