If Whatsapp reports a message read immediately, I imagine it’s probably because it does that as soon as someone opens it – not when they’ve actually read it. So it might mean they just had Whatsapp open and opened it as soon as it arrived. Or, it might be some other bug with Whatsapp.
(I’m assuming you mean the actual three check-marks? If it’s 2 check marks, that means it’s delivered but not opened yet. If it’s 1 check mark, it’s sent but not delivered yet.)