I believe the gun wasn't loaded at first, the audience was given a gun and a bullet.
Does anyone know if ingesting and excreting a (small) bullet is particularly unhealthy?
Bullets are made of primarily lead; military rounds are always covered with another metal; civilian rounds may or may not be. Either way I wouldn't want to swallow the bullet. Then you have the primer and powder, which I also wouldn't want to swallow.
Obviously still not something you want to do. But swallowing a bullet of any kind is probably not something you want to do anyways.