Phoenix (and the surrounding area) is the better choice simply because there are more jobs available right now than anything Vegas has to offer. Yeah Vegas is cheap too, but a lot of folks are still out there struggling. Honestly, no one has any business moving there unless they have a secure hustle (hoes) or connections (more hoes). Otherwise, legit opportunities are much more limited. Most of my family/friends/associates who moved out there at some point eventually moved their asses right back after a few years because life was too hard.
Also, Vegas just has a strange vibe. I'm not really one to talk about "energies" or whatever but if I was, I'd say that place has a very odd energy that I find unpleasant and if you stay there long term, you feel it. I'm from LA and if you're in anyway familiar with it, Vegas has a very similar feeling to Palmdale or Riverside. Very soul-sucking black holeish and dark.
I go to NOLA every summer and while it's a wonderful city short term (and if I had the money I'd move there in a heartbeat), it's really not the place for transplants to start fresh. I mean, what do you even do for a living? What skill set do you have that would be more viable than some really hungry nikka from Lake Charles?
But really, like somebody else said, you'd honestly be better off looking toward Texas overall tbh.