The Great Wall of Mexico by John Sladek, written in 1971 for Thomas Disch's anthology
Bad Moon Rising: An Anthology of Political Forebodings. A rather goofy president builds a wall between the U.S. and Mexico.
It's not a great story but I found it amusing considering recent events.
You can read it on SciFi.com by way of The Wayback Machine. The page formatting is broken and you'll need to highlight the text to read it.
https://web.archive.org/web/20080430...dek/index.html