They’re here under non immigrant student visas and aren’t allowed firearms without a permit.
I suppose every state is a little different, but it’s often fine for someone to rent a firearm even if they do not have a permit. It may be true that a someone with a non immigrant student visa cannot rent a gun for use at a range, but I do not know for a fact that it is illegal.
Purchasing a firearm, I’m sure, is another matter.