I go to Tucson for business every year and was told that it is illegal to BYOW in Tucson

I have been to Hacienda Del Sol several time. They have nice wine list, they even had Y'quem by the glass. Nice view as well.
Also, McMahon's Prime Steakhouse was great. Nice wine cellar with good selection. I think I order 97' Jayson(Pahlmeyer) for $60+/- last year.