There are plenty of non-border states (which are geographically nowhere near the Mexican border) that are flooded with illegal aliens and have a huge immigration problem. I live in one of them, I'm from Illinois. The reason we have so many illegals is because our politicians roll out the welcome mat for them.
This map gives a good overview of which states are illegal alien friendly and which aren't. There several pro-illegal states on the Mexicans border, and a good chunk of pro-illegal states far away from the border:
Mass. may be a socialist hellhole on every other issue, but in terms of illegal immigration it seems to much better off than alot of states. This isn't simply due to its geographic location on the east coast... check out the illegal immigration population of nearby New Jersey.