The fear that you might be harmed if you did not work quickly and efficiently would be very stressful. There would be a sense of danger as you worked below the level where the gunmen were standing. Working "under the gun" of a watchful and hostile master would make anyone nervous. Thus, although no one we can see nearby may have an actual gun, we use this idiom in any work situation where the workers are put under strong pressure to perform quickly and efficiently.