One option is "wild desert shooting". Take Tanque Verde east until it turns into a windy dirt road going up into the hills. A few miles up it'll be obvious where people shoot
You will also see huge, shot-to-hell signs saying "WARNING: KNOWN HUMAN AND DRUG SMUGGLING AREA!!!" Welcome to the wild west. Go with a group if you're smart, keep at least one piece loaded for defense, if you go alone wear two guns minimum - one to shoot, one for defense.
The Nogales/Tucson/Phoenix corridor is the largest land-based drug smuggling route into the US. The back country out there can get freaky fast. Other than that, it's not a dangerous town! There's a moderate murder rate, yeah, but it's virtually all "drug runners killing other drug runners". Even that isn't THAT common because the border is tightly controlled on the Mexican side by the cartels. *Nobody* gets across from the south without cartel approval, not even individual illegals just looking for work north. No, they either have to pay for a ride or pay by walking with 100lbs of pot on their backs. So once the smugglers are up here, they're already "approved and vetted" so it's not even close to what Miami was like circa 1988 or so (peak of the coke trade years).
I've been here since 2006. If you see a big redhead open-carrying a Ruger New Vaquero with a funky loading gate and a yin-yang symbol on the holster, that'd be me...