What we found is that the Season 5 - The One in Vegas (part 1 and 2) episode was filmed at Caesar's Palace.
In this episode, Joey makes it to Vegas as he gets the lead role in a independent film called Shutter Speed. However, the movie is shutting down from lack of funds, leaving Joey trying to make ends meet as a gladiator at Caesar's Palace.
Director James Burrows, who went on to direct a handful of episodes for the show between 1995 and 1997, brought the six cast members to Vegas because he “had a feeling about the show.” While they were at Caesar’s Palace, he encouraged the group to enjoy themselves. “This is your last shot at anonymity,” he told them. “Once the show comes on the air, you guys will never be able to go anywhere without being hounded.”
Check out 25 things you might not know about Friends at Mentalfloss.com.