There's a vibrant comedy scene in Las Vegas, from major Strip productions, to open mic nights in local bars. Since the long-running Second City closed at the Flamingo in 2008 and the Aussie Improv Comedy Explosion opened and closed in the V Theater in 2011, however, there's not been much in the way of improv in Las Vegas.
You're correct that the Improv at Harrah's is misleadingly named and is a regular comedy club featuring different guest performers each week, as opposed to being an improv showcase. Still, we can offer up a couple of suggestions for your entertainment.
Jest Serendipity recently completed a two-year run at Alexis Park and, according to the show's recorded information line, will be relocating to the Plaza sometime this summer. We'll keep you posted.
S.E.T. Improv performs at 6 p.m. every Monday at the Onyx Theatre, an intimate and somewhat anarchic alternative venue hidden at the back of a lingerie store, and next door to a swinger's club. We haven't checked it out, but can vouch for the general caliber of entertainment at the Onyx from previous fun experiences -- just act on the assumption that it's likely R-rated, or at least risqué. S.E.T. Improv bills itself as a "mix of local improv troupes and students learning the art of improv." Tickets are $7.
One last suggestion we came across is the Las Vegas Improvisation Players, apparently a long-running local improv troupe who present family-friendly shows featuring "on-the-spot hilarious new scenes, songs, and poems" inspired by suggestions from the audience. The next show takes place Saturday, June 23 at 7 p.m. at the American Heritage Academy (6126 S. Sandhill Road) and tickets are $10 at the door. With a bit of luck, that might coincide nicely with your visit.