When I was working in a reggae/funk band in Phoenix, we'd sometimes play in Vegas at a (now gone) place called Fremont Street Reggae and Blues Club. It had two stages in separate rooms connected by a little hallway, and two bands would alternate sets. We split shows with Dread Zep at least once. They'd come over to check us out, and we'd throw Zeppelin riffs at them in the middle of a tune, and they'd laugh. I remember once we had a moment in one tune where the band would stop and the horn section would play something alone for a few bars. It was different every time, and that night I called 'Heartbreaker', a riff you don't often hear played by a horn section. But we playd it and they liked that one.
They put the bands up in a real dive called the Rainbow Hotel. It was across the street from the jail. If you watch that horrible movie Showgirls, when they're coming out of the jail you can see glimpses of the Rainbow. Apparently the chick in the movie was supposed to live near there, so you know she lived in a hell-hole.
Before the gig, we rode the elevator up to the rooms once with an ordinary-looking heavy guy, and then got ready for the gig. When we got back on the elevator, Tortelvis was standing there waiting to go down also. It was the same guy, but we didn't recognize him on the way up without his wig and electrical tape sideburns.
[Edit] I forgot to mention, the hotel was a couple of blocks from the gig, and so he must have had to walk the whole way in that outfit. I guess Vegas is the one place he could get away with it and not be looked at strangely.
[Edit again] Somewhere I've got a postcard from the club listing the show, which would have been around 94-95.