What is the longest and (large enough) volume water piping system in the world? From my recollection its not long enough to significantly make inroads to another state.
edit: I think I might be wrong, looks like China has done significant waterworks across their country.
Oil is significantly more valuable than water - the added cost per gallon of water would be astronomical.
1 oil barrel is 42 gallons and costs around $75 today. I pay about $6 per CCF of water which is 748 gallons. It might be worth doing this with oil, but even if you scaled it up, it would be hard not to have the transport cost more than the actual water.
Of course Arizona doesn't really have that option. But California does, and Arizona already sources water from the Colorado River, which California does too.
Anyways. I think moving California off the Colorado River would do a lot to ease the water problems in the southwest.
California has had trouble kick starting desalination. It is an energy intensive process, and the California electricity grid (especially in water poor SoCal) is still heavily dependent on fossil fuels (even some coal plants in other states feed into the LA metro). Furthermore, desalination intakes can negatively impact marine life, unless subsurface wells are used. Those are more expensive and companies pursuing desalination are not eager to foot the bill for them. Perhaps most importantly, desalination (even without subsurface wells) is more expensive than current sources of water in Southern California. I've not even mentioned the challenges in achieving safe exhaust of brine.
edit: I think I might be wrong, looks like China has done significant waterworks across their country.