Have you not watched the Myth Buster's episode where they actually fired guns under water?
As long as there is no air in the barrel or chamber, the gun will fire - revolver, automatic hand gun, bolt action rifle all fired under water.
Careful, Jim may yet find a use for his gun!
I know there is a "gun" of sorts divers use to fend off sharks. It fires a 12 gauge shotgun shell when the head hits something relatively hard. I would worry about the barrel splitting due to the build up of water pressure as it (the bullet) makes its way up the barrel.. not something I would want to test myself.