A group has been trying to bring a refinery to fruition in Yuma for four or five years now. Latest setback was Mexico saying they could no longer guarantee oil for the refinery so it will have to be brought by pipeline and ship from Canada (and much greater cost).
Considering the amounts of fresh water needed by refineries, I don't think Arizona would be a good place for one. They are usually located on sea coasts near rivers so they can take advantage of low shipping costs and fresh water nearby.