There is no Federal law that mandates that they must re-open a closed account. They can either refuse the transfer / return the money, or they can optionally re-open your account so they get money (makes more sense for them). It is, however, in one of your agreements that they reserve the right to re-open a closed account in order to receive the deposit. At which point, your account will become active, and the balance may be below the required minimum balance threshold, so you may have maintenance or low-balance fees charged against the account (Credit Unions are less likely to have these fees).
If you want to call them out on their BS, you can ask them to cite the law which mandates the re-opening of closed accounts. They will likely fall back on your Member agreement. There may be some state laws that discuss this, but I haven't found anything.
This has become such a problem for some bank customers (where they are charged fees on the money they weren't aware they had) that a law was proposed in Sept. 2013, called the Freedom and Mobility in Consumer Banking Act, which would essentially only allow the named account holder(s) to re-open a closed account.
UPDATE: June 20th 2014
I went ahead and looked up the NACHA guidelines for ACH transfers (I got the 2013 version) 2013 Corporate Rules and Guidelines.
These lines reference "Article 4A", which is Uniform Commercial Code Section 4A - Funds Transfer.
Document Pages: OR39-OR40
PDF Pages: 113-114
SECTION 3.8 RDFI's Right to Transmit Return Entries
SUBSECTION 3.8.3 Exceptions to Timing Requirements for Return Entries
SUBSECTION 184.108.40.206 Timing Requirements of Return of Credit Entry Subject to Article 4A
An RDFI must Transmit a Return Entry relating to a credit Entry subject to Article 4A to its ACH Operator prior to the time the RDFI accepts the credit Entry as provided for under Article 4A, unless: [...]
(b) the Receiver's account has been closed; or [...]
This means that if your account is actually closed, they have an exception to the standard timeframe for issuing a Return Entry.
SUBSECTION 220.127.116.11 Timing Requirements for Credit Entries Refused by Receiver
An RDFI must return any credit Entry that is refused by a Receiver. [...]
This means that if you notify them (in writing) that you refuse any future credit Entries to the account, they MUST return them.
I then went looking for the return reason codes
Document Page: OR127
PDF Page: 201
Part 4.2 Table of Return Reason Codes
Title: Account Closed
Description: A previously active account has been closed by action of the customer or the RDFI.
RDFI = Receiving Depository Financial Institution
From what I gather, based on these NACHA guidelines, your CU didn't actually close your account. They put it on "hold" or some similar state. If they actually close your account, they are required to issue a Return Entry with Code R02.
In your case, your CU doesn't charge you any maintenance fees, but for those working with banks, the best bet is to notify them in writing that you refuse any future credits to the account, or go into a branch and insist on fully closing out the account.