Prostitutes on their own would not be investigated. A brothel, however, would be, except brothel owners are business savvy, and pay taxes. In Nevada there is an entertainment tax, so their taxes would be impressive. They would call themselves a resort, or private club, so that entertainment tax would apply.
That satisfies authorities well enough for them to stay in operation, and maintain a liquor license. If something else comes into play, however, such as child porn, sex slaves, extortion, then tax evasion could be an added charge used to bring it down.