This is not the case. In fact, this is not true even in the case of a true Haar-random unitary.
First of all, note that since $\sigma$ is a quantum state, it is hermitian. As such, $X_{a,b}=\overline{X_{b,a}}$ for any pair $(a,b)$, which implies that these two random variables are not independant.
Furthermore, since $\sigma$ is a quantum state, its trace is equal to $1$. As such, being given $X_i$ for $i\in\left[2^n-1\right]$, the value of $X_{2^n-1,2^n-1}$ is forced, which means that they are not independant. To take another example, if you know that $X_{0,0}=\frac34$, then you also know that $X_{i,i}\leqslant\frac14$ for $i\geqslant1$.
Note that this reasoning still holds no matter what the distribution of $V$ is. In particular, this is still true when $V$ is a tensor product of Haar-random unitaries.
Also, note that for $V$ being Haar-random, it is not true that $X_{a,b}$ are drawn from a complex Gaussian. If $\rho$ is pure, then $\sigma$ is also pure and can be written as $|\psi\rangle\langle\psi|$, with:
$$|\psi\rangle=\sum_{k=0}^{2^n-1}\psi_k|k\rangle$$
where each $\psi_k$ is independently drawn from a complex Gaussian distribution (that is, $\psi_k=A_k+\mathrm{i}B_k$ with $A_k$ and $B_k$ being independently drawn from $\mathcal{N}(0;1)$) and then normalized. This means that $X_{a,b}=\psi_a\psi_b^\dagger$. This means for instance that each $X_{i,i}$ is drawn from a $\chi^2(2)$ distribution and then normalised so that their sum equals $1$.
However, this means that each $X_{i,i}$ are identically distributed, and so are the $X_{a,b\neq a}$. If $\rho$ is a mixed state, then writing $\sigma$ as:
$$\sigma=\sum_jp_jV\rho_jV^\dagger=\sum_jp_j\sigma_j$$
shows that this still holds for mixed states.