It would be fine to engrave the cases, but not the bullets. It would change the balance and aerodynamics, making them highly inaccurate, and that is dangerous and highly unethical.
Now if you wanted to make them underpowered or duds, I suppose there's an argument for that. You'd have to reload them yourself though, and it's possible you could be held liable.
This is how all world wars began. Major powers don't start them with each other. It's always proxy nations.
I'm including the Peloponnesian War, which tore apart the Greek empire quite similarly to WW1 & 2.