Maybe its because with the exception of the beautiful blossoms, the desert is all sandy colored. But the state of Arizona has always had a thing for colored highway shields. Back in the 1950s, the state used various colors for their US Highway shields. (CLICK HERE to see a picture of these, including one of the old black on yellow stop signs.) Then they have more recently used colored shields for Arizona state highways.
When I was in Phoenix a couple of weeks ago, I managed to grab these two shots with the cell phone camera. The blue shields are on US 60 as you approach Loop 101, the Agua Fria Freeway. Then at the point you turn onto the entry ramp, there is a white shield. THIS SITE says the blue ones are being phased out. In any case, I found this to be in interesting piece of road geekery.
Arizona also has the distinction of having once had a swastika on its state highway shields (CLICK HERE for an example). These were changed out during the 1940s and 1950s after the ancient symbol (used by the Hopi tribe of American Indians) was used by the Nazis in Germany under Adolph Hitler.