Bats are not a migratory animal. When moving from cold to warm areas, north to south, 120 miles or so is about top limit of their travel. They certainly do not travel across the continent to breed and hibernate.
Cave systems in Southern Arizona are in Tucson, not Tempe. The only places these bats migrate to and from is Mexico, not across the continent. And the "Arizona" photos flashed in the beginning of this episode are Hoover dam, the Grand Canyon and Monument Valley, all which are hundreds of miles from Tucson, or Tempe for that matter.