I bought a roundtrip ticket from Vancouver to PHX. In Phoenix I am meeting a group of friends and traveling to Europe for a couple of days and then returning to VAN. Is that okay? Will there be issues with Customs?
There will be no issues with US customs or immigration for your proposed trip. This sort of thing happens all the time.
It's not clear whether you are talking about Vancouver, Canada or Vancouver, Washington, but that doesn't matter either. What matters is each flight you take and when. How you purchase those flights from the airline is not important for immigration purposes.
If you have Canadian citizenship there should be no problems.
Make sure you have your return ticket to YVR available to show the US authorities when you re-enter the US from Europe- if you don't have it with you to show them they may suspect you of intending to stay (you did buy a return ticket to the US as an alien). Young folks traveling with guitars (instruments of busking?) or whatever might attract more such attention.