One thing that is commonly overlooked is the American southwest's cultural connections to Mesoamerica pre-contact. Another thing is that the distance between the American southwest and the Aztec empire was not that great. People living in the southwest were constantly trading, moving around, and with people from that area. There were Aztec style cerimonial ball courts in hundreds of Hohokom villages for example.

All this being said, Montezuma was a massive figure, and people sharing trade and cultural connections share mythologies. Montezuma came north right alongside corn and pottery.