DESPERATE NEED OF FAMILY LEGAL ADVICE!?

So I'm 21 living in AZ, 36 weeks pregnant and I am an unmarried mother. My baby's father was not involved until now. I originally moved to MN because that is where my parents are moving to, however my baby's father and I worked things out and I moved back to AZ to live with him and raise our daughter. He and I have been ok, however if we were to break up, I would need to go to MN because that is where my emotional and financial help from my family would be. Being an unmarried mother, am I allowed to leave the state if the only place I have to go is MN where my family is? If we were to break up, I wouldn't really have anywhere to go to better myself other than MN...someone please help, I'm so confused.