I would assume that concern for being caught with an illegal weapon goes out the window when we're off to commit some murder.  Taking a toy to go fight some monsters feel to me like a good way to get your face eaten.  On the other hand, if you took a good sized hollow point round, 45acp maybe, and added a penetrator like an AP round, something bimetal like the M995 with tungsten and steel, and then filled the cavity of the bullet with holy water and sealed it up...  Now we're getting somewhere.  Shotgun is still probably superior, but you could lay down a lot of pain with a modern subgun and a round like that.