Instead of giving the person money to go gamble, I'll try my best to get into a conversation with the person that atleast it can of help to the person. Normally it is against gambling rules to borrow money just to gamble. I'll help in giving the person good advice on how to gamble responsibly without struggling to get money to gamble by all means.
It is better to have conversations with people in this condition, it can be of help to them, than just to lend them money and if the outcome becomes a lose , it possible for the person to try every means to still look for money to gamble, it is just better to try help the person out from addiction.
The best thing to do is having a conversation like you said , pretending not to have money will not solve anything if he doesn't get it from that particular person he/she will go out to get it from another person... so getting into a conversation to advice such person can go a long way to rendering help. Although, to get people out of their addiction is somehow difficult but been persistence and constant checkup can also help... atleast if the person knows someone is monitor him maybe it could reduce the habit, employing some strategies can also work..