SAN DIEGO—A transgendered Mexican woman who was granted asylum in the U.S. should be released immediately from the immigration jail while her case is under appeal, the American Civil Liberties Union said in a lawsuit filed Thursday. The ACLU said Oscar "Diana" Santander should be released while the government appeals an immigration judge's ruling in May that granted Santander asylum because she would be at risk of torture if deported to Mexico. Santander, 42, came to California illegally in 1994 but was deported in 2001 to Tijuana, Mexico, across the border from San Diego. Her attorneys claim she was held...