Quote by Jen
Personally, I'd be tempted to move the 'bang' to its own line to really emphasise it.
"Look out, he..."
BANG!
"...has a gun."
I'd also use two sets of ellipses to show it happening in the middle of speech. Be interesting to hear what others would do though.
I just checked a passage in a Heinlein novel (admittedly published in 1959 by G.P. Putnam's Sons) that I happen to remember as having this kind of intrusion into the text. It's not exactly the same, but it might be helpful.
Here's how they did it:
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I turned to see the speaker, flicked my eyes over his sleeves, saw that it was a small, slightly stoop-shouldered corporal, no doubt one of our—
"Father!"
Then the corporal had his arms around me.
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I haven't used quotations for this, um, quotation in order to keep it from getting too meta-. Instead, I've bolded the text that is a direct quote from the book. (Starship Troopers, if you care, pp.131-132 in my paperback edition).
Extrapolating to your example, I'd be tempted to do it like this:
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"Look out, he—"
BANG!
"...has a gun."
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Jen, you may have nailed it, but this is the closest parallel I can remember.
Hope that's useful and not just confusing.