My understanding is that if you buy it from within the US the exporter does not charge the VAT so there is no tax paid to recover. I've never bought a gun directly from the EU but have made other purchases over the internet from the EU and no VAT was charged, the price I paid was reduced by the amount of the VAT.
If you are physically in Europe when you buy it then you might be able to recover the VAT you paid while there on larger items to be exported, however, I have no clue how you would do so.
