i'm pretty sure github issues are agnostic of branches.
are you talking about a local branch or a tracking branch? if your not specifically tracking the branch on github, the branch will not be pushed - thus github will not see your close #XXX
command. here's some info on remote branches from the progit book http://git-scm.com/book/en/Git-Branching-Remote-Branches
UPDATE
i emailed this problem to the github support staff and they confirmed this is expected behavior. here's the response i got from them:
It is because of a recent change we made. Issues are only closed when the commits are merged to the default branch of your repository. I am sorry for the confusion.