Vegas is what people call Las Vegas, the city in the Nevada desert famous for its casinos, its enormous hotels, its bright lights, and its shows. Almost nobody says the full name in conversation — 'we're going to Vegas' is the normal way to say it. The short form carries a flavour that the full name does not: it suggests gambling, staying up all night, a wild weekend, spending too much money, and quick weddings. That is why you also see it used as a comparison — a place described as 'a bit Vegas' means it is flashy and over-the-top, maybe a little tacky. The famous line 'what happens in Vegas stays in Vegas' came from an advertisement and is now said everywhere, as a joke, about any trip where people behave badly and agree not to talk about it afterwards. Capital V always, since it is a place name, and no 'the' — you go to Vegas, not to the Vegas.