As Bullfrog said, there are numerous ways they could be set up - it really depends on the range.
Sometimes though a range isn't constructed properly, or not maintenanced regularly enough and rounds can get through. I remember awhile back one of the local indoor places near me was closed for "remodeling". Turns out that one of the reasons for the "remodel" was that the staff had spotted daylight coming in through the ceiling in a few spots - likely caused by idiots aiming too high (or not at all) and sending rounds into the ceiling tiles.