Have you looked at the USCIS Genealogy Program?

The U.S. Citizenship and Immigration Services Genealogy Program is a "fee-for-service program providing family historians and other researchers with timely access to historical immigration and naturalization records. Click the links at right and below to learn about our services and records." Again quoting from the Website, there are two services:

• Index Search: Using biographical information provided by the researcher, USCIS searches its historical immigration and naturalization record indices for citations related to a specific immigrant. Search results (record citations) are returned to the researcher, along with instructions on how to request the file(s) from USCIS or the National Archives. Fee: $20.00.
• Record Copy Request: Researchers with valid record citations (USCIS file numbers), gained through a USCIS Genealogy Program index search or through independent research, may request copies of historical immigration and naturalization records. Fee: $20.00/$35.00 (depending on the record type).

The records available through the USCIS include the following:

• Naturalization Certificate Files (C-files) from September 27, 1906 to April 1, 1956
• Alien Registration Forms from August 1, 1940 to March 31, 1944
• Visa files from July 1, 1924 to March 31, 1944
• Registry Files from March 2, 1929 to March 31, 1944
• Alien Files (A-files) numbered below 8 million (A8000000) and documents therein dated prior to May 1, 1951

I became aware of this valuable source of information through an article in the Family Tree Magazine by David A. Fryxell.