If $\gamma^m$ denotes a tangent space gamma matrix, and $\gamma^\mu$ denotes a curved space gamma matrix, then they are related by
$$\gamma^\mu(x) = \gamma^m e_{m}^{\mu}(x)$$
where $e_{m}^{\mu}(x)$ is the vielbein. Under a local Lorentz transformation,
$$\delta_{lL}e_m^\mu(x) = {\lambda_m}^n(x) e_n^\mu(x)$$
Also, the gamma matrices with flat space indices satisfy $\{\gamma^m, \gamma^n\} = 2\eta^{\mu\nu}$ whereas the gamma matrices with curved space indices satisfy $\{\gamma^\mu(x), \gamma^\nu(x)\} = 2g^{\mu\nu}(x)$.
To my mind, $\gamma^m$ and $e_{m}^{\mu}(x)$ should transform oppositely under local Lorentz transformations, and hence $\gamma^\mu(x)$ should stay inert.
But then so should arbitrary products of curved space gamma matrices, in particular something like $\gamma^{\mu\nu\rho}$. However, when proving that the spin-3/2 Rarita-Schwinger Lagrangian density is invariant under local Lorentz transformations, one does encounter a term $\bar{\psi}_\mu \gamma^{\mu\nu\rho}D_{\nu}\psi_\rho$, which would involve $\delta_{lL}(\gamma^{\mu\nu\rho})$ (among other things). Is such a term zero?
What is the flaw in this hypothesis, if any?
EDIT: It is not true that $\gamma^m$ and $e_{m}^{\mu}$ transform oppositely under local Lorentz transformations. In fact, as the answers below show, $\gamma^m$ does not transform at all.