I’m having this same issue for non-merged PRs. Just as in CIRCLE_PULL_REQUEST _still_ not being set, the CIRCLE_PULL_REQUEST env var is not set when a PR is first created. The creation of the PR triggers a build, but the env var is not set or blank. Rebuilding causes the workflow to have CIRCLE_PULL_REQUEST set. This is obviously a bug in the build engine.
Why don’t you all build in delay / retry logic such that if an expected env var value is not found, your engine retries obtaining them before firing off the scheduled workflow / build?