Why not just design the room so that you change the puzzles easily?
Still, a mostly empty warehouse and a few sets of goggles seems more cost effective, and a virtual set would be easier to reconfigure and reload.
We can make it a cooperative multi-player game to get the teamwork effect of real escape rooms. An existing example would be "keep talking and nobody explodes", a cooperative, semi-VR game.
The thing is, as fun as it is might be, it is an entirely different experience. On one side you won't get the feedback of real life items and people. On the other side you can do things that would be too expensive, too dangerous or simply impossible to do in real life.