In 1922, Haile Selassie would have been Crown Prince and Regent--head of government--of Ethiopia. His movement and travels would have been public record, and he would have traveled, even unofficially, with fanfare and first class accommodations. This account of his foreign travels during his regency says nothing about a trip to the USA in the 20s https://en.wikipedia.org/wiki/Haile_Selassie#Travel_abroad

The idea of HS traveling to upstate New York in a freight car under segregated conditions to pick up a shotgun with no record outside a family tradition strikes me as a bit far-fetched. He was not a guy known for his humility. On the other hand, he had the wealth and opportunity to buy the best guns in the world. It's perfectly plausible that he ordered a gun from Flues and sent someone to fetch it.