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DFW Gun Range ( http://www.dfwgun.com/ ) is heated in the winter but I don't think any ranges are ever air conditioned in the summer. If it bothers you, bring a fan. That's what I do when I shoot on the hottest day of summer: I bring a fan and ask to be positioned at the last firing lane so nobody trips over my fan's electrical cord.

One range in China I went to was air conditioned, but the membership fee is almost $20,000 per year. http://www.chinagunclub.com.hk/english/ . So, I believe it when the other posters are saying that it would be prohibitively expensive to air condition an indoor gun range. Unless, y'all are willing to shell out some serious dough, just bring a fan and ask the range master really nicely if you could plug it in.