I guess cracking open a bottle of Chivas Regal in your birthday suit in your room with a view of the strip doesn't count?
Not sure how unique the setting is (middle of the casino floor) but Whiskey Down at MGM has a pretty killer selection. Foundation Room at MB has one of the best views in town and while they're not known for whiskey they have a few nice bottles on hand.
I almost always hit Delmonico in V/P as they have an incredible selection, but is nothing special as far as the setting goes. http://emerilsrestaurants.com/article/delmonico-steakhouse-book-whisky I don't view this as a menu, more like a life-long goal or to-do list! Ri Ra in the shops between Mandalay Bay and Luxor is an authentic pub and has a very good list as well. https://rira.com/las-vegas/food-and-drink/drink-menus/scotch-whisky/ Neither one of those is what I would call a classic whisky bar with the big leather chair vibe though. Whiskey Down has that feel, but I found the selection to be uninspiring, I really enjoyed The Dorsey in Venetian, but amazingly failed to check out the whisky list. Casa Fuente in the Forum Shops is a nice cigar bar and has a decent whisky selection.