There is no mystery here. You incorrectly assume that voters are almost all registered to one of two parties. That is not the case. Every state, including every swing state, has large numbers of unaffiliated voters not associated with a particular party. These voters are more likely to vote mixed ballots such as the Republican Trump for President and a Democrat for Senator and there is nothing strange about this.

Your own data shows that TOTAL drop-off votes are not unusually high and these totals are smaller than the margins of victory (Arizona total drop-off is 41,355 while margin of victory is 187,382). This shows this isn't about lots of people voting for President and nothing else. It's about more voters not voting straight down the ballot with a single party.

What distinguishes the swing states from the non-swing states is the massive amount of advertising targeted in these states mostly for the Presidential race which is what caused drop-off votes cross-party. That advertising resulted in more unaffiliated voters going with Trump but not choosing Republicans down-ballot. Again, this is perfectly explained and understandable and shows Trump's advertising focus on fear (e.g. immigration) and the economy and ineffective government (e.g. inflation and uneven wealth gains) beat out the fear of authoritarianism.

Finally, given that the electoral college advantage for Republicans requires a Democratic presidential candidate to win the popular vote by about 2% (even so, Hillary Clinton lost the electoral college with a 2.1% popular vote win) having Harris behind by 1.5% in the popular vote made it almost impossible for her to win the electoral college.