As Donald Trump arrived in Phoenix late Wednesday, fresh from a visit to Mexico City’s presidential palace, he had in his hands a big immigration speech that omitted the usual line that Mexico would have to pay for his proposed wall along the U.S. southern border.

Just after landing, though, Mr. Trump discovered that Mexican President Enrique Peña Nieto had tweeted that he had told the Republican presidential nominee during their private meeting earlier that day that his country would refuse to pay for the wall.

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