Just to put a warning here, there are many SH spoilers! But it encompassed the whole Cosmere so I put it here.
Khriss had a gun in Secret History. Chronologically, the only books before Mistborn Era 1 were White Sand, Elantris, and the Emperor's Soul, so it's not like on First of the Sun where the Ones Above are hanging out, making vastly more advanced technology. I'm going to assume that Cadmium and Bendalloy bubbles are the closest the cosmere will get to time travel, since if there was significant time travel I feel like somebody would have gone back and stopped the Shattering. That leaves a few options as to where she got her gun.
1: She made it herself.
This is very unlikely. Khriss is quite smart, but I find the idea that she could make her own gun years (centuries?) before the rest of the planet nearly impossible.
2: It's from Yolen.
Khriss has never been to Yolen, and complains about not knowing where it is. While she could have been given it by a Yolenian, I doubt she would let a Yolenian pass through her fingers without figuring out the location of the planet.
3: It's from Vax.
This is certainly a possibility. We honestly know nothing about it, so maybe.
4: It's from the third continent in Elantris
I'm pretty sure this is the case, since I think that the Ire is from this continent. We know that the Ire is from Elantris, and I don't think that Elantrian technology from Areleon and the Rose empire will have advanced to the level of the Ire in the short time between Elantris and Mistborn Era 1. So the only explanation for the Ire is that that they exist on the third continent mentioned in AU. If that is the case, then this third continent has the highest technology at that time period in the Cosmere. For example, they have that glowing thing that Kelseir steals from them. While they are not seen carrying guns, it could be because they are expensive and valuable at the time. The third continent doesn't have to be that advanced. However, Khriss could have gone to that continent and gotten her gun.
TL;DR: Khriss's gun is from the third continent on Sel