  The physics of highly excited Rydberg atoms is governed by blockade or
exclusion interactions that hinder the excitation of atoms in the proximity of
a previously excited one. This leads to cooperative effects and a relaxation
dynamics displaying space-time heterogeneity similar to what is observed in the
relaxation of glass-forming systems. Here we establish theoretically the
existence of a glassy dynamical regime in an open Rydberg gas, associated with
phase coexistence at a first-order transition in dynamical large deviation
functions. This transition occurs between an active phase of low density in
which dynamical processes take place on short timescales, and an inactive phase
in which excited atoms are dense and the dynamics is highly arrested. We
perform a numerically exact study and develop a mean-field approach that allows
to understand the mechanics of this phase transition. We show that radiative
decay --- which becomes experimentally relevant for long times --- moves the
system away from dynamical phase coexistence. Nevertheless, the dynamical phase
transition persists and causes strong fluctuations in the observed dynamics.
