Why? The only better market in the Western Conference as of now is Houston and their arena situation is iffy. I think the Toyota Centre got renovated, but it is still a pretty pathetic place and I think in a more dire state than the Pepsi Centre is in. Salt Lake City and Kansas City are not good locations themselves due to issues in the cities. SLC cannot do Sunday games and has a pretty small population overall (it would be Winnipeg Jets of the USA), while Kansas doesn't scream like a hockey market (not that Arizona is one either, but at least the NHL has been established there for a couple decades now). This leaves Milwaukee and Portland as two other potential ones. Milwaukee totally could work yet has no arena that I know of except an old AHL one and Portland has one made for basketball, which is also one of the oldest in the country. Arizona isn't going any place near the East like Quebec City or Atlanta to cause realignment issues again.
Arizona building a brand new arena > Playing in the Toyota Centre
Gotta clear up some misconceptions here.
Starting with SLC:
The Sunday thing... traditionally, the Jazz have played on Sundays on the road, but not at home. The prior ownership was a different generation of Mormon that was staunchly against playing on Sunday, even as the culture and area changed. The new ownership (still Mormon) has been peeling back these practices and this year the Jazz will play on Sunday at home this season as well.
Then the size of the market. SLC is ~1.2m metro area, this is not a big city by traditional standards, but Winnipeg it is not. Winnipeg is about 775k people. There are a half million more people in SLC. SLC is slightly bigger than Buffalo and slightly smaller than Raleigh. If you look at the combined statistical area, it is around 2.6m which pushes the area higher than Nashville, Raleigh, Columbus, and Vegas. And right with Pittsburgh. Canada doesn't seem to have an equivalent number to CSA as their CMA is more metro area in direct comparison. Point is, it certainly is a small market... but it isn't close to Winnipeg small. It is Nashville, Vegas, Raleigh sized.
On the market though, SLC is one of the fastest growing metro areas in the US... growing at about 1% a year. The state of Utah in general is expected to double in size by 2060. You can count on less than one hand faster growing big cities in either country. Add to that SLC is one of the wealthiest cities in the US. The market has more pure buying power than many markets.
SLC though is purely a relocation target. Smith is willing to spend a ton of money on sports endeavours... but he doesn't have the pile to jump in on an 700m expansion fee without some other major backers. The arena situation right now is not great. For hockey the venue is less than ideal (think Barclays), but they are tracking for a replacement. The current plan is tying a new building (that can house hockey natively) to the Olympic bid for 2030. So 2027/2028 is likely the earliest. Meaning they'd have to play in a ~13k seat building with limitations for a while. Which is fine if you are relocating a team like Arizona... not fine for an expansion team.
On Milwaukee:
Fiserv Forum can host hockey with a capacity in the mid 15s. The AHL team was not invited to the new arena since the ownership didn't put up any funds and doesn't get long with Bucks' ownership. It is not a perfect venue for hockey as the ends are limited, but it houses it pretty well. The Hawks and Wild have played a pre-season game there.
Which gets to the biggest obstacle of Milwaukee. Minnesota and more importantly, Chicago split the rights to Wisconsin. Both teams would likely protest a team moving into their territory. The Wirtz family is probably the single biggest reason the Milwaukee doesn't have a NHL team today. They have stopped really any progress in that area for years. They'd have to move out of the way for that to change.
Another factor against... Milwaukee isn't that much bigger on the metro area (~1.5m and declining), but the combined statistical area is actually less than SLC at a flat 2m (and declining).
That said, they'd be option #2 for relocation after SLC.
On Portland:
The Moda Center is perfectly able to host NHL hockey today. Not the best building, but day one it could host 17+k fans. The issue here is territorial dispute more than anything. Seattle bought into the NHL with the idea that the US side of the PNW was theirs and it wouldn't be challenged for a long time. Moving a team to Portland shortly after getting an expansion team to the PNW is going to fracture a newborn fanbase. The NHL has learned the lesson here with teams. About zero chance of this happening in the next 10 years. Maybe after the Trailblazers get a new arena (their lease runs out in 2025 and they'll use that to try to secure a plan for a new one)... which will likely be 2030+.
On Atlanta:
This is an expansion target pure and simple. There is plenty of money there and the new arena pushes there are tied to that money. The NHL will not forego the 750-1b expansion fee to relocate a team here.
On Houston/2nd Texas team:
Also an expansion target with the fee not being foregone. That said, Houston completely relies on Tilman Fertitta's desire to have a team. Sometimes he seems he wants one, other times he seems like he doesn't. The building works well enough for hockey now, but they really need a new building in general.
Now I say 2nd Texas team because Austin is also on the radar. They'd also be expansion as money is there for that. The NHL has to see the success of Austin FC as well. Now bigger obstacles as they have no suitable arena, little available land in the prime areas, and they'd also be in that SLC, Raleigh, Nashville grouping of market size. Plus Dallas has been pretty adamant about their market. They'll protest Houston as much as they can... Austin might be way too close for them to not raise a fit.
How this all plays into Arizona... well Arizona has to get a solid arena plan. The NHL has them on a deadline of this season. If it isn't figured out sometime in early 2024... they'll begin the process of moving them. Which could be as early as the 24-25 season. That leaves two realistic places for relocation. SLC or Milwaukee... SLC has a huge leg up with a willing owner, a connected owner to NHL teams and leadership, arena that is ready, arena plans, growing area, and less of a territorial dispute.
TLDR: if Arizona is relocated, they'll move to SLC.