Best of luck!
The only way that the owner will get paid any proceeds would be if the amount that the home sold for at the trustee sale was more than all of the liens against the home. The liens will be paid first and then the trustor (previous homeowner) will receive the balance. In AZ, this is rare that there are any funds remaining because most trustee sales the homes are upside down.
This link provides some info about your rights in this situation, again consult with an attorney to understand your rights under both Federal and State laws.
I have seen tenants put their rent money, up to the amount of the deposit, into an escrow account after the foreclosure to ensure they recover their deposit. Not advising you to do this as it is probably a violation of the lease contract. As others have said, consult an attorney to determine your options.
You could ask him to show you, on paper, where the money is coming from. Perhaps he can do that? You might also want to familiarize yourself with the foreclosure process so that you have some idea of how long you will be able to stay in the house.
Not sure what you're waiting for, but I would suggest you pay the rent that you owe, talk with a real estate attorney about the ramifications of moving out ahead of your lease - if you have one. Your deposit should be honored and returned to you or at least mounted as a lien against the property. Again, a real estate attorney can help you in more detail.