No, they aren’t. They’re using it for targeting, but since they are targeting legal immigrants as much as undocumented ones, it isn’t reasonable to say this is for targeting “illegal immigrants”.

No one is illegal.

I would strongly advise all EU citizens to use a service like YouDigitalRights.org to close and delete all your US based accounts according to EU GDPR so your data does not end up in Palantir’s hands.