Checking out the air quality indices provided at weather web sites and the American Lung Association throughout the country can help you make a decision. My sister who has COPD and lives in Minnesota wintered two years ago in Phoenix. Her condition was worse! Only after she arrived, did she check on the air quality index for Arizona and found it to be the worst state in the Country for particulars -- dust). She stayed in Minnesota this past winter. There are a couple of cities -- Kingman and Lake Havasu -- that are the best in AZ, but still not good.
We've laughed at how when we were growing up (I'm 65), only the "rich old people" went to AZ for the winter with the not-so-rich having to endure the Minnesota wintr weather and it got a reputation as a haven for good health for the elderly. Of course, it didn't have the pollution back then. However, it's the minute tiny dust particles that cause it to be bad for breathing, and certainly most, if not all, "old people" already have diminished lung function. But breathing in tiny dust particles 24/7 isn't good for anyone.
Another thing to be aware of: A person can develop an allergy when he/she moves if the plant life is different from wherever you came from. That was a problem for her, too. Needless to say, she had a miserable winter in this haven for the elderly, although she enjoyed the sun when she was outdoors -- which wasn't often and ended up having to run an air cleaner until she had an air conditioner installed in the RV she moved down there to live in to do the same thing, albeit more efficiently.
I do understand, though, that the drier climate is great for many arthritus and fibromyalgia sufferers. But as a person living with COPD, I, too, have scratched AZ from my list of places to "winter" in. Sorry AZ citizens, but air quality IS very important for everyone.