"Que se cojan por" is not correct; you would need a passive voice construction with a past participle instead of a conjugated verb. You can also change to active voice by saying "que los coja la patrulla fronteriza".
Also, keep in mind that Latin Americans don't use the verb "coger" the same way as Spaniards do. The verb "agarrar" is the verb we prefer here.
By the way, "la policía americana/estadounidense" is fine, but the there's a specific authority doing this, so "patrulla fronteriza" is better.
Some alternative constructions:
- En caso de que los atrape/detenga/aprehenda/arreste...
- Si son atrapados/detenidos/aprehendidos/arrestados por...
- Cuando los atrapa/detiene/aprehende/arresta la patrulla...
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