Phoenix and Tucson are in the main swath of the Sonoran Desert, which to the unaccustomed eye (as mine was, initially) is all just burning hell dirt and rocks. The undisturbed state of the Sonoran Desert is actually pretty amazingly green. Not like a forest. But cast an eye on the Mojave Desert, which is what Eastern CA deserts are. Or, for the biggest contrast I've ever seen, the irrigated lands next to the Nile and then the utterly barren dirt and rocks beyond.

So in Tucson where I live we lightly irrigate several 50' heat happy trees with a nice canopy providing great shade. Next door, providing great morning shade for our backyard, is a 50' mesquite tree with upper branches at least 3' in diameter. No irrigation. In the alley behind our house is an old Palo Verde maybe 30' tall and it does a nice job shading the front part of the yard in the afternoon. Also no irrigation.

To sum up, lack of green cover is a choice, and I don't know but suspect people will value that more as things heat up ever so inexorably. The Sonoran summer sun is a mutherfucker, and shade helps a lot (but doesn't fix it).

Are most cities naturally occuring?

Yeah, NYC's tree plan would be quite the disaster in Phoenix, I would think.