do you mean when you get a passport request to finalize a visa?
if the person is a US citizen, they do not require a visa in their passport, therefore immigration will not ask for the physical passport. they will request a copy of the passport only and will generally mail the approval paper by regular mail.
if the person is not a us citizen and requires a visa, immigration will send the passport back the same way the applicant sends it to them. Immigration is not going to cover the cost of sending a passport by courier. in the passport request letter, they will ask the applicant to send the passport with a pre-paid, self addressed envelope. i believe most people use DHL or FEDEX.