Was I wrongfully terminated, or do I have a case?

Description: Employer found out that my roommate and I were living together, and told us that either she had to move out, one of us had to transfer, Quit, or be fired. It was not possible for either one of us to transfer, as we were both on final write up for attendance, even though our absenses had been due to excused medical orders. That left the choice that either one of us had to quit or be fired. The policy that they used to justify their actions was that two employees who are "dating or romantically involved" could not work in the same store. We are not either one of those. There also was a couple of people who were not only romantically involved but living together, management knew about it, and nothing was done to them. This is just one of the many instances of unfair treatment that my roommate and I have had to endure, and wish to do something about it. We have been to the EEOC, the City of Phoenix, and the Attorney Generals office, and all of them say that they can't help, because discrimination on the basis of Sexual Orientation are not covered. Can someone please help?