Arizona was an American state visited by several incarnations of the Doctor and many of his companions.
In October 1881, the First Doctor, Steven Taylor and Dodo Chaplet visited Tombstone, Arizona. (TV: The Gunfighters)
In 1905, the Fifth Doctor, Tegan Jovanka and Turlough made a trip to Buzzard Creek in Arizona. (AUDIO: Freakshow)
In 1969, the Second Doctor met with the crew of a Quotron spacecraft in the Arizona desert to keep their visit to Earth secret. (COMIC: U.F.O.)
In the same year, Rory Williams was officially killed atop Glen Canyon Dam by Canton Everett Delaware III and his team of FBI agents, though the death was faked. (TV: Day of the Moon)
In 1988, the Second Doctor, John and Gillian visited the state. (COMIC: The Faithful Rocket Pack)
In 2009, the Tenth Doctor and Donna Noble visited Arizona. (COMIC: Sting of the Serpent)
In 2012, the Seventh Doctor, Roz Forrester and Chris Cwej were in Arizona, where a gynoid transported Roz to New York in 1799. (PROSE: Christmas on a Rational Planet)
Behind the scenes
According to the Cybus Industries website, Arizona was still part of a United States of Mexico in Pete's World.