I called a few local ranges and inquired about renting a gun. Everyone one of them insisted that in order to rent a gun, you had to show them that you have one, either concealed carry or otherwise. You don't have to give it to them, just show them that you have one.
I discovered that the reason they do this is to prevent suicides, figuring that if you already have a gun, or access to one, you will not try and shoot yourself with one of their rented guns.
But let's say that there is a gun range that does not enforce this policy and you see someone acting strange and/or about to shoot himself. I realize that it could happen very quickly, but what do you do if you see something untoward happening?