USUALLY you are on Indian land which is a sovereign country, neither State nor Federal. They can make their own laws and you have no constitutional rights there.
But just because you are at a Casino does not mean that it is a) Indian or b) if it is Indian that it is on their land as they can do business off of their land too depending on what state/local laws allow.
Kaneehta (sp?) in central Oregon is no weapons allowed...and fwiw that also is true for the parts of Hwy 26 that go through their land! Good thing THAT is not enforced.