Heh... I've experienced the same thing when I spent a couple summers in Phoenix. Course, it's a dry heat, but it's still dang hot. I came back without a tan, and everyone here said "How come you're so white? I thought you'd have a dark tan?" I said "You can't go outside during the daytime! Especially to sit in the sun!"
I dated a fella that lived in Santa Barbara and he came down once for a summer visit. All of his buddies in CA kept telling him that he was gonna burn up in the heat. His problem was air conditioning, he was always cold in restaurants, etc. because we Texans typically keep the a/c and fans turned way up.
By the way, Phoenix in summer is brutal, dry heat or not.