Donald Trump has promised to build an “impenetrable, physical, tall, powerful, beautiful” wall along the southwest border of the U.S. to keep out illegal immigrants and criminals. This week, before the first brick has been laid, his administration claimed that the mere threat of such a crackdown was already bearing results. In February, the first full month of Mr. Trump’s presidency, the U.S. Border Patrol said that it had intercepted 18,762 illegal migrants at the southwest border, 41% fewer than in January and 28% fewer...