In the very beginning of the game with Charon, choose a character with a pistol (the soldier origin). Then, when you get the golden bow, climb into the upper cisterns and free Sentilla. Then, when Magistrate Sentius comes and you are going to kill him, choose the pistol option. It will be marked.
You may also be able to choose a different background, but get a gun through console commands.
Credit to SHiSH for their
guide.