Just tell the casino employees to read the W2-G instructions. It's all spelled out. If the patron doesn't provide an SSN, they are to take 28%. No fuss, no muss. BUT...
You may run headlong into the casino currency transaction report requirements and the suspicious activity reports. If they hand you $5000, they are supposed to know who you are. They only have to report when you move more than $10000 in a day, but they are supposed to track $3000 or more. If you refuse to provide an SSN, and they are about to hand you >$5000, I'd think that could get some overzealous manager to start thinking something pretty odd is afoot. I believe they can require your name+address and proof of age, so from that they can fill out a complete FinCEN 102 form and ring the alarm bells at Treasury.
In OP's case, he should be fine. He's going to pay his taxes all legal and proper, so when the IRS comes knocking asking him to explain the SAR, he can simply say to them what he said to us... he didn't trust a casino with his SSN, pull out his gambling log, point at the taxes he paid, and hopefully they'll go away happy.
For some interesting browsing check out:
http://www.fincen.gov/statutes_regs/...AQs_Final.html
Don't give a fake SSN on the W2-G. Right there above the signature line is: "Under penalties of perjury, I declare that, to the best of my knowledge and belief, the name, address, and taxpayer identification number that I have furnished correctly identify me..." Falsifying a federal document is a dumb way to get in trouble.