Other mistake: There's no way Harry could've smashed the cigarette vending machine at the gas station without somebody inside seeing him.
Continuity mistake: Harry pulls a bat out of his car trunk which becomes yellow, shorter, and bounces, likely made out of foam, then it turns back to normal when demanding money from one of two thugs he's nailed.
Audio problem: When Burt Young is dining with Iris he laughs/chuckles at one point yet his mouth never opens.
Other mistake: Iris somehow obtains a bloody lip from the mud wrestling match yet the action wasn't hard enough for this to happen.
Answer: No reason is given but there could be any number of factors involved in why this location was chosen. However, it appears to be less about the plot than about real-life logistics. The event takes place at the MGM Grand Hotel in Reno. MGM financially backed this film, so this was an opportunity for them to showcase and promote their expensive hotel in the movie. Also, filming on MGM property would have given the production greater freedom on when, where, and how they wished to film, avoiding many of the costs, restraints, and restrictions often encountered when filming a movie.
raywest ★