How the heck are neo nazi training camps allowed to exist in Arizona ?
The same reason why anarchist groups hold a yearly "convention" aptly named "CrimeThinc", and a group affiliated with the Nations of Islam groups owns rural plots where the believers occasionally gather to shoot off their mouths- and a few guns.
As Crime Dawg123 stated, the US constitution allows for a broad freedom of association (implied right), as well as the defined rights of free speech and fire arms ownership.
Though it is very hard to shut these groups down, my bet is that all large gatherings are attended by informants and / or deep under cover law enforcement. There is a joked that half the participants at the big camps are either informants or journalists. That leaves a few wannabes and a few true believers.