Reporting by casinos
If you win "too much" at one time:
Win > $5,000 (used to be $3,000, but I believe was raised) the casino could file a Suspicious Activity Report ("SAR"). These are really a pain in the ass for the casino; so don't get filed all that often. SARs exist to catch "structuring" (i.e., a big win being cashed out a bit at a time) by people trying to avoid...
Win > $10,000 the casino MUST file a Cash Transaction Report (CTR).
If either of these forms get filed on you, it creates a paper trail which could expose you to fraud charges if you keep drawing unemployment, as the income would almost certainly reduce, if not eliminate, your eligibility, at least for a time.
My advice: never cash as much as $2.5K at once as, for many casinos, this is the threshhold where they ask for I.D.
There have been cases where the IRS has gone to casinos to get "players statements" on individuals they suspect of failing to report large gambling winnings; but this would not occur on a state level.