Ironically, you accidentally hit upon the exact reason it is so hard for Chicago to deal with their gun problem despite having strong gun control laws. 

The mouth breather Trump supporting states that have no gun control laws foster a lucrative black market business as far as importing guns into Chicago for extensive profit.

But no, they don't need a wall. What they need is strong Federal gun control to even out the laws amongst the various states so that the black market profit is rendered less lucrative as far as importing guns from a mouth breather state into Chicago.