Unfortunately, Arizona is not one of the few states that requires "service letters". In the few states that do, upon your (usually written) request, the employer is required to provide you with a written letter which includes your dates of employment and the reason you were fired. In the absence of a service letter law, however, the employer has no legal obligation to give you a reason for your termination.
What I need you to do now is to go back to HR and tell them you want a copy of the Summary Plan Description for your medical, dental and vision benefits. They are required by law to give it to you, although if I remember correctly they have something like 30 days to do so. They may direct you to a link on the website, and if so that's okay, that's in compliance with the law - just make sure you know how to find it. When you receive it or know where it's located, come back to me with it and I'll tell you what I need. I don't guarantee that I can get you an extension of your benefits till the end of the month (although you should be offered COBRA) but I can tell you whether you have legal grounds to fight the termination of benefits before the end of the month.