Were you trying to access The Club at Phoenix? If so, that is an independent lounge that I believe BA contracts out for its 2 flights and some other airlines and Priority Pass contract out as well. I don't think the normal lounge access rules apply since it isn't a real BA lounge or Oneworld Lounge. It is very small and doesn't offer a lot so you are not missing out on very much.
With your ticket and status though I believe you should have access to any of the AA Admirals Clubs in Phx. Those are Oneworld Lounges that abide by the Oneworld access policies. If you were denied from one of those then that is indeed not correct.