Following the electronic-infused Faerie Stories (2001), Dun Vegas was co-produced between Calum MacLean and the band's drummer Iain Copeland.

[3] Ben Ivitsky, who performed fiddle, triangle and throat singing on Faerie Stories, left the band following its release, as did guitarist and mandolin player Ali Pentland and keyboardist Nuruduin.

"[8] Band leader, piper and whistler Peter Morrison wrote seven of the eleven tracks on Welcome to Dun Vegas[9] which, according to The Living Tradition, "somehow summons up peat bogs and mountains – and of course a fine malt!.

[10] "Welcome to Dun Vegas is a mosaic of pipe and fiddle tunes, earthy dance rhythms, keyboard effects, dodgy vocals and various unidentified noises.

Stepping back from "Wacko King Hako", "Phat Controller" and "Ironing Maiden", the big picture is of a good-time band with enormous creativity."

"[9] Dawn Laker of Roots Review noted the album's mixture between traditional and modern instruments, and "rhythmic inspiration from as far afield as Africa and South America.

"[2] The foreground of the music throughout the album can change from traditional Celtic tunes originating from Ireland and Scotland, often in a fragmented fashion,[11] to "modern melodies" and instances where "anything goes.

"[9] Neilson and Morrison provide the traditional-esque melodies, which unfold over Copeland's "hi-tech grooves," Salter's "richly layered guitar" and Jones and Innes Hutton's keyboard and bass work.

[4] The pipe-led "Wacko King Hako" opens the album with a mystical vibe and features sounds reminiscent of whale calls[2] It is based on the fictional story about the Viking ruler who in 1263 lost a battle to the Scots at Largs.

When returning to Shetland, he and his fleet of long ships stopped in Pool Roag in front of where the band's studio now stands and "probably had one last raid on the community.

[2] Written during the night, the track is another mix between traditional and modern styles, and features sparse vocals, contemporary sounding bass and eminent whistle playing.

[2] The experimental "Shifting Peat & Feet" features lyrical pipe playing and backwards drumming from the band's percussionist Iain Copeland.

"[7][8] "Morning Dew", the second and final traditional track on the album, features an unsettling, modern treatment, with its "deceptive slowness" and usage of minor keys.

[9] The fiddle-led "Skeabost Monsoon" is the first of two consecutive songs to feature The Veganites on vocals, and minimises the usage of bass while using the fiddle for "angst-ridden modernity."

"[12] The Inverness Courier said "the Skye based techno-folkies don't just let themselves be influenced by fashion, they embrace it,"[16] while in a five out of five star review for the Glasgow Herald, Sue Wilson said "the many existing Peatbog fans, along with other lovers of cutting-edge folk fusion will love it.