Picking random integer not in a list between range

I need to randomly pick an integer between two integers but that integer can't be in a list. This is how I am doing it:

bannedReturningCustomersIndex = []
index = next(iter(set(range(0, 999)) - set(bannedReturningCustomersIndex)))
#some code..
bannedReturningCustomersIndex.append(index)

The problem is that I'm not pickig the integer randomly, I'm picking them 1 by 1 from the beginning...