@Melinda-and-Todd0 I believe your suspicions are spot-on. No hosts would tell their guests to lie to management or neighbors about staying at a listing, or leave a lock box in some public place unattached to the accommodation if there weren't something illegal going on.
You can flag the account and report to Airbnb, but, as @Kelly149 said, they probably won't act on it. There are landlords who have tenants who they have found are Airbnbing the space they were rented in complete contravention of their lease, and Airbnb won't take the listing down, even when the landlord submitsa copy of the "no subletting" lease agreement. the poor landlords have to go through the sometimes months-long process of evicting the tenant.
You could also mention the oddness of the situation in your review, just don't put forth the opinion that it's an illegal listing, or Airbnb might remove the review. Mention it more in terms of how uncomfortable it made you feel. "We" and "I" statements, rather than unprovable accusations.