Arizona's not a country, so not quite germane (unless you are talking about its southern border, which is clearly an example of the effect suggested.)
In the case of the borders among countries in the Sahara, my understanding is that lots of those were disputed borders settled by people pretty remote from the areas with the straight borders, so I'm not sure they provide a counterexample. "It's a desert" may increase the likelihood that decisions get made by people living far out of the region (since it reduces the number of people living close by), though.
Dividing geography with existing populations and long histories into discrete countries is always going to produce tricky ethnic issues. It's just that in Europe those issues were worked out violently over a period of centuries up to and including the second world war. The process is so big, that people don't notice it.
In the case of the borders among countries in the Sahara, my understanding is that lots of those were disputed borders settled by people pretty remote from the areas with the straight borders, so I'm not sure they provide a counterexample. "It's a desert" may increase the likelihood that decisions get made by people living far out of the region (since it reduces the number of people living close by), though.