I've ridden my motorcycle on several jaunts out to Aridzona. Trust me, I know the heat. I've spent even more time in West Texas and New Mexico. At 75 mph on the back of the bike, it's like sitting in a blast furnace. What I HAVE found is that a light riding jacket, like my Brosh armored, vented jacket, I'm actually cooler because my skin is not directly exposed to the sun/wind. In town at a stop light, of course, it gets warm. One thing that's nice, though, is that out there, I can dump water on my jacket and the evaporation actually works. Here, there is no respite from the heat, water just makes you wet and hot. No need to dump water, anyway, as you're already soaked from sweat.
One thing I like out there, though, wanna escape the heat? Just take a ride up the very fun Mt. Lemmon road to the top for lunch (if the restaurant hasn't burned down since last I was there), or any of the similar roads and mountain ranges around the state.. It's super at high altitude, 80s, cool, no humidity. The highest thing around here is the cell towers.
I think if I moved there, i'd move to Globe, maybe, or Flagstaff. But, then, there's winter. I think I could handle snow, though. Sorta fun the 3 times in my 57 years it's snowed and stuck down here.