Seems like the easiest way is to do it the other way around. The robots (walls, whatever) have tiny explosives in them and when the gun reports its orientation and location when the trigger is pulled, it signals some local computer attached to cameras in the room to compute the path of the virtual bullet and then trigger the appropriate “explosion”. Gunshots in films work this way (without the computer, but the explosion is in the target). This can make all shots at real humans into realistic misses as well.
The show is fairly explicit that life outside the park—at least for the folks who could afford to go to Westworld—is effectively risk-free, and one of the primary reasons guests attend is to experience at least the frisson of danger.
Right, but you could still get a bit of that frisson of danger, but instead by environmental hazard or robots potentially choking or applying blunt trauma to guests.