The ‘Zetas’ are Mexican Army troops who left and signed on with the drug cartels as enforcers.
There’s quite a bit of evidence that they are active in Texas. I don’t know that we’ve seen them here in AZ, yet.
The Sinola cartel owns the Mexico side of the AZ border, so it is unlikely we will see any Zetas here. Unless the Sinolas collapse. Then all bets are off.