I live in AZ and work in the RGV.
For me, since I am used to hot AZ summers, the RGV is more tolerable in winter, due the increased humidity. But since you are from MN and already like the winter weather in AZ, that is not much of an issue.
That said you said RGV compared to AZ which is not really a fair comparison since the RGV is a small part of TX and AZ is an entire state. So it would depend on where in AZ you want to stay: there are differences between PHX, Yuma, Quartzsite, and other areas.
In general I would say in the RGV it is much more of an "I am in Mexico" feel than in most areas in AZ. I hope that is not taken wrong, or as something as a negative.
Mike