My fiance is in a Mississippi prison they are moving him back to California or Arizona, why?

This sounds like a state inmate that has been transferred to a contract prison in another state due to several possible reasons. One is overcrowding, the other could be if he has a codefendant in the same prison (they separate them), third could be disciplinary, it could also be that they have a court date and need to be within a reasonable distance from the courthouse.