The first legal battle for Mahmoud Khalil, the recent Columbia University graduate who was arrested and moved to Louisiana last week, is the fight to keep his case in New York. The issue may seem minor compared with the First Amendment concerns raised by the arrest of Mr. Khalil, a legal permanent resident who was a prominent figure in pro-Palestinian demonstrations on the Columbia campus and whom the Trump administration is seeking to deport. But where Mr. Khalil’s case is heard could have profound consequences, not just for him but for anyone else the White House targets for removal from...