What you are describing is a contract prison arrangement, which is more common than most people realize. California and Arizona both periodically house state inmates in out-of-state facilities, including private contract prisons in Mississippi, when their own facilities are overcrowded or when population management requires it.
There are several reasons an inmate in that situation would be moved back to their home state.
Overcrowding relief works in both directions. If the home state facility has created space or if the contract arrangement with Mississippi has ended or been reduced, inmates get recalled back. California in particular, has been under court orders related to prison overcrowding for years and its inmate population has shifted significantly as a result.
A co-defendant situation is another common trigger. When two people connected to the same case end up at the same facility, corrections departments separate them by moving one to a different location. If a co-defendant arrived at the Mississippi facility, your fiancé may be the one being relocated.
An upcoming court date is also a frequent reason. If there is pending litigation, an appeal, a resentencing hearing, or any other court matter requiring his presence in California or Arizona, the state will transfer him within a reasonable distance of the courthouse well in advance of the date.
Disciplinary reasons can also prompt a recall, though that typically comes with a more restrictive destination rather than a return to the home state.
The transfer paperwork and his case manager at the new facility will have the specific reason on record, and asking his counselor directly is the most reliable way to get a clear answer.