There are some rescues in my area that will sometimes go to the auctions and pick up dogs that don't sell at the end of the day, but most of them don't even advertise that, for fear of encouraging millers to bring their dogs and try to sell them, knowing that they can at least dump the animals on the rescues if they don't bring in any money.
Nobody makes a policy of going to auctions and paying money for the dogs for the reasons Jean pointed out.
The other thing is that puppy mill rehab is HARD. It takes a lot of time, a lot of expertise, and a decent amount of money to do well. Very few people are able and willing to handle those cases. The handful of fosters who can do this (because past a certain point it does have to be a foster situation -- you can't do mill rehab in a shelter setting) are already overwhelmed with dogs seized in cruelty/hoarder busts and dogs surrendered in settlement agreements. They don't need to go out there and buy more.
ARCHMX TDCH Pongu the Insane, CD-C, RE, RL1X6, RL2X5, RL3X2 (GSD mix, b. Apr 2010)
Crookytail the Tigerwuff, RL1, ITD (Akita mix, b. Jan 2011)