Well Emma was adopted as a baby and lived with the same family until she was three. So if that family moved to Arizona then she would go with them. So that is a possibility. Though i think it seems like there is more evidence just because she was found in Maine, sent to Boston, and that the place where she visited Worcester when she got arrested was also in Mass so all of that seems like she was in the foster system in the Boston area. Also she was living in Boston again at the time of the Pilot. You are right thought. We don’t know for certain.
I still like the idea that she kept Henry for a few weeks. We will see though.
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