We, as a company, get charged a month in advance for health insurance. We then take out a portion out of the employees check every week. If we fire someone in the last week of the month, they have just finished paying for that months health insurance. Do we have to keep them on our insurance for the next 30 days or is their health insurance done at the end of the month they just completed..disregarding COBRA.

What does your plan document say? With one exception, and the exception is not Arizona, no law in any state says how long you have to keep them on the health insurance. That's determined by the plan document, not by when they've paid.