Based on watching the episode last night, it was inferred that Jordan went all the way to Las Vegas to drag Rodman away from his 48 hour vacation. However, according to the director of the documentary, Rodman was only across the street for the United Center and Jordan only had to take a five minute walk to retrieve Rodman.

Here's the link with the director discussing it himself: https://www.youtube.com/watch?v=jT0aYnZnifk