Its explained in FFVIII that the gun doesn't actually fire bullets. The rounds used are actually duds. You pull the trigger it causes the blade to vibrate for more damage. Least that is what the game says.
If that isn't good enough for you then remember,

The correct term is "blanks."
I would assume it's
technically possible to make the blade a very long compensator. A compensator is a vent at the end of a pistol barrel that releases gas from the cartridge to push the end of gun down thus compensating for massive recoil, the S&W model 500 and Mateba Autorevolver often come with compensators for those wanting examples.
In a gunblade, this compensator would be used as a jet to drive the blade through a target. However, the ammo shown in the case in FFVIII look somewhere between a .45-70 Govt and a .700 Nitro Express. I have a .45-70 Govt pistol so I'd say this is your best candidate as a .700 NE would break your arm.
Again; however, .45-70 Govt is a low pressure round but the required bore diameter would make the blade thick and unwieldy.