This photo has been circulating online recently and it gave me the inspiration to try it.
I grabbed some .40 S&W brass and some spare LEGO heads. Sure enough they seat into the casing. I even loaded them in my Glock 22 magazine and fed the mag into my Glock 35. Just to see what would happen, I released the slide and the Lego cartridge chambered without any deformation of the Lego head.
Now I want to try loading these and load a primer to see if it will propel the LEGO head out the barrel. The LEGO head is too wide to drop free down the barrel. Perhaps it might work? I will have to revisit this when I can get some .40cal brass loaded.