I’ve done both races twice. Both times at Arizona were before ever doing Cozumel, and now personally I would never go back to Arizona. There was a lot to like about IM Arizona, but that swim just sucks, and is an awful way to start the day. Having said that, if it is your first IM and you are a strong swimmer or nervous at all about International travel than I would suggest Arizona. I will try to add on to your list below.
edited to add: if you are travelling with someone, which you should, I would ask them and see what they want, that way they will let you do a second!
Since both races are the same day, which race would you pick for a first race?
IM Arizona Pros
Driving distance from Southern California
Flat course and fast course
Mike Reilly will call out your name
Cheaper than Cozumel (why is it cheaper? Plenty of cheap accomodation in Cozumel)
Wetsuit legal (because it is so freaking cold in the dark mud puddle of a swim…)
IM Arizona Cons
Boring course compared to Cozumel (Cozumel has the Ocean on the bike, but AZ has the mountains, draw)
Might be cold at the end (yes, I knew someone who had to pull out of the run because of this)
Heard bike course has a lot of turns (more than COZ, but not that bad on the full)
Not the best water quality (!)
IM Cozumel Pros
Swimming with current, so will have fast swim times even without wetsuit (this year I actually came to a stop against a small current, you never know)
Gorgeous swim, ranked one of the best swims *(*yes)
Can make a vacation out of it and go diving after (yes, although the first year we did AZ we went to Grand Canyon after)
Read there was good crowd support (same, more or less)
Can register later vs Arizona which sells out quickly
Flat bike and run course (there is a ~14km section that feels like a gradual uphill due to the wind, along the coast)
IM Cozumel Cons
Can’t use a wetsuit
More expensive than Arizona
Heard the headwinds are very strong just like Kona
***Bike aid stations are a bit hit or miss, they are all staffed by kids, and when it gets hot mid-day they slow down and over-heat, just like the competitors.*****Stays warm for the whole run, and gets dark for sections, **