The dealership could buy it from the other dealer, but you'd most likely have to pick it up or pay the shipping yourself, unless you know someone. After the dealer bought it then you could consequently buy it from them. But then again, this is usually an insider thing, I'm not sure if they would do it for just a walk-in customer. Or, find out if someone at that dealer wants a specific packaging or whatnot and the dealers could engineer a vehicle swap.
If I were you, I'd get a one-way ticket to the nearest airport to the AZ dealer and drive it back. Would be a lot of fun and a great way to get to know your car!