Mythical creature somewhere in Arizona (7)
I believe the answer is:
phoenix
I believe this is a double definition.
'mythical creature' is the first definition.
'somewhere in arizona' is the second definition.
(capital city of Arizona)
(Other definitions for phoenix that I've seen before include "Mythological bird" , "Legendary bird - tragic actor - Arizona capital" , "Reborn bird" , "Legendary bird born from ashes" , "25 28 [MARS LANDER]" .)