I don’t think he actually thinks that, I think it’s just that he is simple-minded and once he makes a concrete connection between concepts he’s unable to stop using it.

In his 2016 campaign, his advisers were pushing him to focus on immigration reform. They had policies that would make it harder for people to illegally immigrate (and legally, tbh), and they figured that would be a winning issue with republican voters. But Trump couldn’t stay on script, and kept neglecting to talk about immigration. So his advisors told him that the policies would be “like a wall” that stopped border crossings. “The wall” was supposed to be a mental image to remind him to discuss immigration. But Trump is too literal-minded, and starts just talking about the wall. The rest is history.