For those who don't follow the comments, I figure I'd promote this interesting question because it's a real head scratcher:
There were certainly guns in Shakespeare's time. But in any of the plays, did Shakespeare ever write a stage direction requiring that one be fired? We can't find one. Why would that be? If it's a simple matter of safety - they didn't have prop guns and you didn't want to fire a gun in a closed theatre - then the next logical question would be, Did any of his contemporaries write in shooting stage directions?
(*) Chekhov's Gun is the literary rule that says, "If you hung a pistol over the fireplace in act 1, you need to fire it in act 2." Shakespeare apparently never fired them, so did he bring them on stage at least?