In Arizona it is illegal to buy/sell/trade/barter any Arizona wildlife whole. So for example, it is illegal to buy/sell/trade/barter a whole frozen squirrel from Arizona. The seller from Arizona can be prosecuted, but I doubt that the buyer from another state will be (could be, but I doubt they would put the effort).
Arizona G&F allows state residents to purchase other wildlife from out of state (providing they aren't protedcted, etc.). I have purchased fish from Cecil Baird before (farm raised fish).
Although checking with your local game warden sounds reasonable, I would find it in print.....afterall that's what a judge will do. In Arizona there are Arizona Revised Statute (A.R.S. Codes) Codes that cover this topic.....and they are published on the Arizona Game & Fish website.
Find your answer in writing.

Kerby...