There are indoor clay pigeon ranges. Though I'm guessing it was a shotgun shooting a slug which acts like any other gun (as opposed to shot which spreads and so wouldn't be useful at most ranges since you would hit your neighbor's target as well)

First off, most indoor ranges don't allow shotgun target loads and slugs are $$$ so people don't typically shoot them indoors.

It's not explicitly rude but depending on the exact circumstances it's kind of pushing it to shoot 12ga and full power rifle rounds at indoor recreational ranges. Like don't do it on Saturday morning when it's busy and everyone is their with their wife or kids or whatever. Anything with enough concussion to be obnoxious to other shooters is sus.