Most of the published modules take place in the Great Lakes region, Kentucky a region west of there, Texas Gulf coast, Nevada and Seattle, WA. I do not have Fall Back or American Outback, but the synopsis of those indicate a location near the KFS and Nevada respectively. So Arizona seem pretty wide open for you to do whatever you want. Just remember that between the five nukes going off in the skies over Phoenix and the surface hit on Luke AFB just west of there, the greater Phoenix area was largely turned into mounds of collapsed buildings and a fair amount of radiation.
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