Zappos wasn't started in Las Vegas. They started in San Francisco. In 2004 they moved to Henderson, Nevada, and from there to downtown Las Vegas in 2013
The reasons why are various, no doubt including tax benefits, as well as moving out of the loneliness, but also because Tony Hsieh leads the "Downtown Project" which wants to revitalise downtown Las Vegas as a vibrant cultural and economic hotspot.
I read it an interview with Tony somewhere that the main reason they moved to Vegas was to hire the right people. San Francisco wasn't the right place to source the type of employees Zappos needed to grow. I think Vegas also helped shape Zappos' quirky internal culture.