Vegas is a great place and can be warm in May. Personally, I grew up in the SW and love it here. The Red Rocks loop is a real classic of SW vibrant colors.
http://mcghies.com/
The link is for a LBS that rents all types of bikes. They have a location at Blue Diamond, NV called the Outpost. You can pick up your rental bike at the outpost and have more of a 30 mile loop. You will want to arrange the bike rental in advance so the bike is at the outpost. Blue DiamondCottonwood Canyon is more of a Mountain Bike destination.
There is a new loop at Lake Mead called the River Mountain Loop.
http://www.rivermountainstrail.com/
It is @45 miles just for the loop. But you can ride to the new bridge over Hoover Dam for just a 8-10 spur. There is also a good bike shop in Boulder City.
http://allmountaincyclery.com/
Again Boulder City is more of a Mountain Bike destination, but tons of road riders stream through there everyday. Maybe you like mountain biking, if so, congrats, Bootleg Canyon is a world class riding area.