Do you need to bring your own clays for shotgun?

Nope

You can rent a gun, but you are required to buy their ammo, which will be more expensive than going to a store. There are multiple areas for different skill levels that you can choose from. All areas have clay throwers with clays provided. Typically, you pay by how many clays are thrown. Instructors are usually there to help you and give advice for free.

No you Do Not