The Victorian parents of 29-year-old twin sisters involved in a fatal shooting incident at an outdoor range in Colorado are flying to the US to identify their daughters.

The women were practising with small-calibre guns at an outdoor shooting range south of Denver when they suddenly fell to the ground almost simultaneously from gunshots to the head.

Police remain baffled by the case and are waiting for the parents to confirm which of the twins was killed and which one survived.

The surviving twin is in a stable but critical condition in hospital but doctors have told police she is too badly injured to be interviewed.

Arapahoe County Sheriff Captain Louie Perea says the twins' names have not been released because investigators do not know which sister died.

"They look very similar," Captain Perea said.

He said the coroner was trying to identify the sister who died through fingerprints and dental records.

Captain Perea confirmed the women were on cultural exchange visas. One came in to the United States on September 7 and the other came in on August 19.

"One of them was scheduled to leave, I believe their visa expired on November 16," he said.

Police are trying to trace the women's movements after they checked out of a hotel east of Denver on Friday.

Investigators are trying to determine how both women were shot in the head.

They are not looking for any suspects and are trying to determine whether the shootings were accidental or intentional.

"All scenarios are on the table," Captain Perea said. He added no suicide note was found.

"I think any time you have any individual, whether it is male or female, be it from whatever country, to actually come on to a firing range and the result is one individual is deceased and the second is critically injured, obviously it is somewhat bizarre," he said.

"But it is something that happened and something we are dealing with and trying to do a thorough and complete investigation so we can come to determine what occurred."

Captain Perea said investigators are not sure who fired the gun or guns or whether the same bullet hit both sisters, who were in the same shooting lane.

The sisters had taken a taxi to the range and had been there for more than an hour when they were shot.

The had a small-calibre weapon at one of the lanes where shooters line up behind a wooden wall and shoot through an opening that resembles a window.

There was no apparent indication of a dispute between the sisters or anybody entering or leaving the area, Captain Perea said.

Shooting range owner Doug Hamilton told The Denver Post the women showed no outward signs of trouble or duress when they arrived at the shooting range.

He said 20 to 30 other shooters were at the range when the shooting happened but nobody was sure what took place in the twins' stall.

"Apparently the ladies were shot simultaneously or thereabouts," Mr Hamilton said.

"The how and the why, we really don't know."

Surveillance cameras show the women falling backwards out of their shooting stall.

"There's no eyewitness, and there is no video of the specifics of what happened in the stall," Mr Hamilton said.

"They were actually placed - at their request, I might add - they were placed towards the west end of the range, about two stalls between them and the next occupied stall."

Australia's Department of Foreign Affairs and Trade (DFAT) has confirmed the women were from Victoria and said it is helping their family in Australia.

Consular officials are working closely with local authorities.

- ABC/AAP