Brothels in general are illegal in the US because they are places of prostitution (which is illegal). In Nevada, homosexual sex was once considered illegal as well, which would explain why gay brothels are extremely rare. Any that do exist (and there probably are ones that exist) are considered illegal business operations. The first answer explains the history, but since prostitution is legal in Nevada and since Lawrence v. Texas abolished all laws against homosexual sex that means that you could legally open a gay brothel in Nevada today. It just hasn't been very long that you could do that, which explains why you won't find any, yet. Someday there will be one.