MacDonald Island does exist...
So does Macquarie Island (which is part of Tasmania), but MacDonald is a different place (best described as in the middle of bugger-all) roughly equal distances from Oz, South Africa and the south pole.
Near Heard Island, if that helps. They're part of Australia, but not part of a state (and I suspect if asylum-seekers ended up there they wouldn't like it)
Good for trivial-pursuit questions:
Where are the only two active volcanoes in Australia? (Heard and MacDonald Islands)
What's the tallest Australian mountain? (One of those volcanoes - Big Ben/Mawson Peak on Heard Island)
If you're near Hobart, take a peek at the Aust Antarctic Survey HQ there - makes me shiver just to look at it...