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Dense Rydberg gases are out-of-equilibrium systems where strong density-density interactions give rise to effective kinetic constraints. They cause dynamic arrest associated with highly constrained many-body configurations, leading to slow relaxation and glassy behavior. Multicomponent Rydberg gases feature additional long-range interactions such as excitation exchange. These are analogous to particle swaps used to artificially accelerate relaxation in simulations of atomistic models of classical glass formers. In Rydberg gases, however, swaps are real physical processes, which provide dynamical shortcuts to relaxation. They permit the accelerated approach to stationarity in experiment and at the same time have an impact on the nonequilibrium stationary state. In particular, their interplay with radiative decay processes amplifies irreversibility of the dynamics, an effect which we quantify via the entropy production at stationarity. Our work highlights an intriguing analogy between real dynamical processes in Rydberg gases and artificial dynamics underlying advanced Monte Carlo methods. Moreover, it delivers a quantitative characterization of the dramatic effect swaps have on the structure and dynamics of their stationary state.