There are a number of places that might work. Golf n' Stuff - miniature golf. The younger kids might need help - www.golfnstuff.com
The zoo does parties - you'd have to contact them to see what all that is about.
There is another mini golf place on Stone called Funtastics. I don't know much about it.
You could go skating at Skate Country. There is a place called Celebrate. It's an indoor jumping castle kind of place. Their site is (I believe) www.celebrateintucson.com
Also, there is an ice rink on the east side of town. I don't know the name nor the number. That's not really helpful, huh?
There is a place on Tanque Verde called Paint Yourself Silly. They do parties. You go in and pick a piece of ceramic that you'd like to paint and they provide the paint, glaze it and fire it for you. Might be harder for the younger kids, but something to think about.
Now you know what I know - and that's not sayin' much!!