Think of it this way: Tri Attack has a 20% chance of doing the following: "The game chooses burned, frozen, or paralyzed. The opponent now has that status problem." If the opponent would be immune to the status problem chosen, nothing happens. The game doesn't go back and choose a different status problem to try. Another consequence of this is that, for example, a Pokemon that can't be burned can still be frozen or paralyzed with Tri Attack (if the game chose "frozen" or "paralyzed" respectively).
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