Rep. Martha McSally Martha Elizabeth McSallyMcConnell locks down key GOP votes in Supreme Court fight Will Republicans' rank hypocrisy hinder their rush to replace Ginsburg? Trump supporters chant 'Fill that seat' at North Carolina rally MORE (R-Ariz.) proposed building a border wall between California and Arizona to protect the state.

“As we look in Arizona, we often look into the dangers of the southern border,” McSally said during a round-table discussion about "sanctuary cities" Tuesday at the White House.

Sanctuary cities are municipalities that do not cooperate with federal immigration enforcement.

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“But if these dangerous policies continue out of California, we might need to build a wall between California and Arizona as well to keep these dangerous criminals out of our state," she said, smiling.

She added that California can't just "provide sanctuary for these criminals and think that it's only impacting California dangerously."

Earlier this month, the Trump administration filed a lawsuit against California over the state's immigration laws.

The Trump administration has been highly critical of California's sanctuary cities, and administration officials have said they will crack down on policies that limit local law enforcement's cooperation with federal authorities.

McSally earlier this year announced her bid for Senate to replace Sen. Jeff Flake Jeffrey (Jeff) Lane FlakeJeff Flake: Republicans 'should hold the same position' on SCOTUS vacancy as 2016 Republican former Michigan governor says he's voting for Biden Maybe they just don't like cowboys: The president is successful, some just don't like his style MORE (R), who is retiring at the end of this Congress. Other candidates in the primary include former Maricopa County, Ariz., Sheriff Joe Arpaio and former state Sen. Kelli Ward (R).