MESA, Ariz.—Loneliness is a feeling that really has nothing to do with whether one is physically alone. Shen Yun Performing Arts reminds audiences that their spirits are always connected. “We’re never alone, and we’re connected from above. It doesn’t matter which country, everyone doesn’t want to feel alone, and they want to treasure their culture, and they want to treasure the training of their lives that they’ve been given,” Betty Ann MacKinnon said. Both Ms. MacKinnon and Lou Ann Loveday are retired dental hygienists from Calgary, Canada, who are in the United States for vacation. “We both live in Canada and we’ve seen Shen Yun advertised since 2006, and so then we finally decided to do it here at this theater. And we’re amazed at the level of quality and expertise in the show,” Ms. MacKinnon said. Shen Yun is based in New York and its dancers are trained in …