She said a number of things in that interview. She also said she saw him carrying the gun as he left the bedroom and wondered where he’d gotten it.
No, she didn't. She was responding to the police suggestions. The police told her (the lie) that he had opened fire on them. She said "where did you get that gun" was mixed up with her confusion - she said that AFTER he was shot. She immediately clarifies her statement about what she saw when he left the bedroom:
Q: He came out of the room and he had the gun in his hand?
A: No, no when I saw him he was wearing this, his shorts, and I don't know where he got that. [answering how he was found with a gun] I thought, I don't know. I don't know where he got the gun.
She didn't actually see him with the gun until he was shot. The police were lying to her about what happened and trying to trip her up so she would make a confused statement they could say corroborated their cover-up.