Pretty much any range is going to require that you use their ammo in rental guns. That way they know how many rounds have gone through each gun, and they know the quality of ammo that's been run through their guns.
A lot of ranges, especially indoor ranges, will require the use of factory loaded ammunition only. This is due to several factors. First, is air quality. I don't know of any factory ammo that uses hard cast lead, and a lot of manufactures are going to enclosed base bullets to limit lead exposure. Additionally, there is the liability issue. A lot of the insurance companies that insure ranges frown on handloads because they're more likely to KB (so they claim-I've shot-and continue to shoot-a hell of a lot of reloads), and because the insurance boys may have to pony up a lot of money if something bad happens. If factory ammo goes KB, the insurance guys can go after the mfg.
I have heard of a few places that require that you buy ammo from them no matter what. In those instances, I would try to find another range. It's not likely that you'll change their mind.
Joe