Border fortifications, barbed wire fencing in many areas, yes. A "wall" no. Too much territory, many places doable with modern technology but not 19th century technology. Furthermore the reality is that with the USA and CSA different nations, border guard patrols on the border would stop most escape attempts. Also, the upper south was reducing the slave population before the ACW for economic reasons. Any slave not residing within a few days of the border will find it almost impossible to escape. With an independent CSA there is no restraint on the punishment that could be meted out to abolition sympathizers on the underground RR in the CSA. The death penalty for aiding slave escapes, similar to punishment for aiding/encouraging a servile revolt, would rather rapidly eliminate almost all white aid for escaping slaves. It is not unreasonable that the USA might become quite unwelcoming to escaping slaves, blaming blacks for the disunion.
In any case assume a 30 foot wall is built from the Atlantic all the way to the Texas/NM border. In remote areas slaves who make it to the wall simply use 32 foot ladder to climb over the wall. In the 19th century no land mines, no electronic monitoring etc.