Your employer's questions about your pregnancy during the interview process may very well be evidence of pregnancy discrimination. With regard to the other positions that you either were not selected for or did not get after interviewing, more facts are needed to assess whether those decisions were discriminatory.
One issue you should be aware of is the time frames involved in pursuing a claim for discrimination in Arizona. Your question did not state when the discrimination occurred. Generally, you would have 300 days from the date of the discriminatory conduct to file a charge of discrimination with the EEOC. For more information, you can check the EEOC's website, eeoc.gov, which provides a lot of information.
I would also recommend you consult with an employment attorney licensed in Arizona. Good luck.
Based on the information you stated here, it sounds like you may have a claim for discrimination. It is improper for an employer to inquire about children and pregnancy during an interview. If you are interested in taking legal action against the company for this, you should consult with an attorney as soon as reasonably possible to determine whether you have a good claim and what you should (and should not) do to help preserve that claim. Our firm, like many others, offers free consultations.