Ah, I didn't notice the proviso on guns when I was putting Hank together. As far as an explanation for why he'd have one; he is deeply connected with a large crime organization. Even with martial law in effect, there'd still be unregistered firearms; it's not like the police can search every nook and cranny of New York. With the description of NYC being a 'super powered warzone', I would think that if anything, criminals would be trying to arm themselves even more.
If you'd prefer he not have a gun at the start of the RP, that's fine by me, it's not a sticking point for the character. That being said, the theme behind Hanks character is 'information broker'; even if he doesn't have a gun, would it be fair to say he at least knows who he'd have to talk to about getting one?