Speaking as a northerner, I don’t know that anyone believes this, especially as you can’t really (easily?) even access Arizona from the area, except Littlefield, and I don’t even think Littlefield can access anywhere else in Arizona without leaving Arizona.Live in Cedar City but I think most people assume Utah ends at Nephi and we're more northern Arizona than Utah.
I actually thought about this recently and considered how interesting it is, for instance, that England is smaller than Utah. If I were to hear a national news story coming out of St. George, I’d consider that as kinda like an extension of my home, whereas England is an entire country and I wouldn’t imagine people in different parts of England would have that same feeling. I would imagine a lot of northerners would likely feel the same way I do.