Answer: "Of Arizona" is a prepositional phrase.
Explanation: A prepositional phrase is a group of words that includes at least one preposition and its object. In some cases, prepositional phrases also consist of words that modify the object. Moreover, prepositional phrases can modify a verb or a noun. In the sentence provided, "of Arizona" is a prepositional phrase because it has been introduced by a preposition ("of") which is followed by its object (the noun "Arizona"). Furthermore, "of Arizona" is modifying the noun phrase "capital city"; therefore, it is a prepositional phrase and also an adjectival phrase because it is giving additional information about the noun phrase "capital city".