High rollers staying in vip suites don’t roll their own bags, they pay the bell hop.
And a bell hop wouldn’t think the bags were awfully heavy and metallic?
Yes, it is a little curious. BUT there are TONS of places to shoot in the desert (and indoor ranges) in and around Vegas. Lots of people with rifle cases and ammo, even in the big hotels. (True, not allowed, but who wants to leave that stuff in the parking lot??)
Just because you’ve never done it personally, doesn’t mean it’s not easily or commonly done.