I'll agree that there is a chance the gun might be heated to the point of cooking off the rounds. But I'm thinking that it's unlikely.
If YOU are the path to ground that the lightning takes it seems unlikely that the lighting will find that a shorter/easier path exists by jumping to a gun sitting in a holster on your belt and then jumping back to you. If your gun was grounded to earth that would be totally different, but it isn't. If the lightning hits you it will most probably continue through some path within you and then leap to ground near your feet (probably just above your boots).
Taken to extremes, if you were holding a rifle, with the butt on the ground, your hand on the muzzle, and your knee resting against the bolt handle, I'd believe that the steel barrel and action would be part of the least-resistance path to ground. But a small handgun hung on your belt, swathed in a decent insulator (like leather or kydex) is really not going to be an attractive route. Certainly not a lower-resistance path than your sweaty, salty body which is actually touching the ground.
Now, depending on exactly what path the current took through you, it may be possible that the gun would be super-heated anyway and might cook off, but I don't think there'd be a great likelihood of it.