While the Cocteau Twins are known for their mumbled lyrics (to the point that there's sometimes debate about exactly what's being sung), the song Heaven or Las Vegas (from the album of the same name) clearly and repeatedly contrasts Las Vegas with heaven ("But is it Heaven or Las Vegas?" --- "Is it Heaven or Las Vegas?" --- etc.). Why are these seen as somehow contrasting? Is there any significance to picking Las Vegas in particular for this contrast (or is it just the fact that the name happened to fit, like Winslow, AZ was in Take it Easy by The Eagles)?
Heaven is obviously seen as a perfect place, with no sin, filled with God's presence. Las Vegas is sometimes seen as the exact opposite - there's gambling (which some view as sinful), "immoral" adult entertainment, and it's not very religious. God is nowhere to be found. These things led to the nickname "Sin City," as Peter Shor pointed out. Arguably, no other city has the same powerful reputation, so this is probably why the Cocteau Twins chose it to contrast with a perfect Heaven.
When we say "I'm in heaven" we mean it's something wonderful, which the song implies. Being in Las Vegas can also feel enjoyable and wonderful, but at the same time it might be wrong or not worth the consequences. So he's saying, this feels great, but is it right and good in the long run? At least that was my take on it.