Sorry about your loss. Unfortunately there isn't much you can do, the police and hotel security might review tapes of the hallway outside your room but unless they can see the culprit actually with your jewelry box they don't have any proof of who did it. If it was a maid it might be especially difficult; if it were some other person walking in while the room was being cleaned (it happens pretty regularly, when I walk past a room being cleaned it is so easy to just look in and walk in) maybe they can try to track down the person.
as others have mentioned, pawn shops won't snitch or help you out (so not really worth visiting all the pawn shops unless you wanted to check if your jewelry is there), only if the police put out a bolo on your jewelry will they actually (legally) be required to be on the lookout for your stuff. Unless your jewelry looked special the crooks would probably go to those gold dealers or pawn shop and just sell them to melt. If they are close to another state they might even be safer crossing to the other state to pawn off the items.
Just make sure you filed the police report and notified hotel security. Provide photos of the stolen items (if possible) to the police so they can xerox and distribute to pawn shops.
Lawyers are completely out of the question (and a total waste, don't know why someone would even mention them), the hotel has no responsibility for your belongings or safety of your belongings. same with pestering hotel and hotel security, they are under no obligation to take the time and effort to look for the bad guy but for PR they (and hopefully the police) will look at videos to see if they can see suspicious activity. You should make a follow up call next week or in a couple of weeks (you should ask the police when it's best to make a follow up call) to see if they found anything suspicious but in no way should you keep bothering them or the hotel IMHO. If you were in the biz and someone kept pestering you, would you make more of an effort to find the culprits? My guess is that you would make less an effort instead.
pj might have a good idea (posting on sites). Btw, tripadvisor has a forum that you can post your situation. While you can post your situation under a hotel review I am not sure if TA will approve of the review (when you initially post your review you will get a thank you, they will review your post). I would post in the Tunica forum section (if there is one), there you can post whatever you want and they won't review or moderate your post. I post on TA regularly, the forum section is like this forum and you might get some assistance there.
Financially, you can file a claim under your homeowners insurance, they should be able to cover some of the $$ value. You can also try to claim the loss in your taxes but I'm not a fan of trying anything (though legal) against the IRS, at least with an insurance claim you hopefully can get something for your loss without getting the fed government involved.
Unfortunately there isn't a way of measuring sentimental value for a stolen item. Don't give up hope, there is still a chance (albeit thin) that they can catch the culprit. Let's hope that he/she slipped up somewhere so the police can catch the person.
Other than that I would put this down to a lesson painfully learned. That is why I usually make a cursory look around before I leave my room, make sure all the valuables are locked away or with me or safely at home.
I feel your pain, I think most of us wish these bastards would _____ (fill in the blanks with your own words). My word would be "get put in jail" or maybe "DIE" but unfortunately a lot of these guys keep getting away with it.
