I have had this happen to multiple friends recently, where they show up at the car rental facility, and they have given away all of the cars, including the one my friend booked.
I don't think calling ahead will make much of a difference. They are going to keep giving away cars to the people standing at their counter with reservations in their hand. Not holding the car for the person on the phone with the reservation in their hand. Car rental agencies run similarly to airlines in that they deliberately overbook their sales. Which means, sometimes, someone gets screwed.
The best way to avoid showing up to a rental agency that has lines out the doors and waiting for hours only to find out they have given out their last cars is to not wait in the line at all. Pretty much all the major rental agencies have loyalty programs, which you can join for free. When booking as a loyalty member, you don't have to wait in line to get your car. They just tell you the parking spot number to go to, and your car is there with the keys. Skipping the line - and all those people potentially ahead of you - altogether.
When booking through Costco, make sure you enter your loyalty number there when finalizing your booking. If you have already booked your car, and you are not a loyalty member, I would suggest joining their loyalty program now and seeing if you can get the benefits retroactively applied to your booking. And if not, calling to see if they can do that for you.
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