Az Ozzy bakery or Mekong Bakery sits right next to Mekong market. I've come in here several times for some asian style buns. The manager is not the friendliest but she will give out samples.
My complaint is the bread never seems that fresh I want to like this place but they seem to do the best at just mediocre service and bread. Last time I came I purchased a mocha bread which disappointingly had a vanilla pudding flavoring. Their taro bread had a weird chalky filling maybe it needed more time to cook.
Unfortunately, there aren't many other HK bakeries out here in AZ to satisfy my craving for a simple cocktail & hot dog bun.
The only thing I would recommend are the Hong Doe Cakes they turn out on the weekend. They cook it fresh on their special pans just bring some extra cash. My faves are the coconut raisin and red bean when they're warm and fresh off the grill.