Low analog lowpass + ADC vs High analog lowpass + ADC + low digital lowpass
I'm curious whether there is any difference between this strategy and, say, setting the lowpass to something really high like 250Hz and sampling at 500Hz, then once digitized and doing analysis, applying a digital lowpass at 30Hz


Good idea.  This is how oversampling ADCs work, sampling at a high rate using a poor quality converter (even a 1-bit converter), and then using digital filtering to downsample to the desired value with better accuracy.  Digital filters can have a much sharper cutoff than analog filters for essentially no cost, reducing aliasing that would otherwise get into your recording.  It can also improve your signal-to-noise if the analog signal isn't already restricting this.


  Would the double filtering induce artifacts? 


Not unless you design the filters poorly.  :)