Former President Donald J. Trump, speaking at a multimillion-dollar fund-raiser on Saturday night, lamented that people were not immigrating to the United States from “nice” countries “like Denmark” and suggested that his well-heeled dinner companions were temporarily safe from undocumented immigrants nearby, according to an attendee.

Mr. Trump, the presumptive Republican presidential nominee, made the comments during a roughly 45-minute presentation at a dinner at a mansion owned by…


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