The Third Circuit has applied the futility doctrine to immigration proceedings. The petitioner had filed a motion to reopen claiming to be a U.S. citizen, a claim that was subsequently litigated and rejected by the Eastern District of New York and the Second Circuit. Since the Board of Immigration Appeals would have no authority to make a contrary finding, remand of the motion to reopen would be futile.
The full text of Ricketts v. Attorney General can be found here: