@queen69,
Welcome to A2K!
Your HR department is doing its job. Someone approached them with a concern and they are investigating. If you did not say anything about bringing a gun to work, say so. If you did, especially in front of witnesses, come clean and explain the context. If the HR department doesn't find any merit in the complaint, they will likely let it drop. If you end up getting fired over this, you might need legal advice, but at this point, just tell HR the truth and see what happens.