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Every item of worth is going to be itemized and divided between them in the divorce. If he's selling something of worth to keep her from getting it (major no no), the judge has to decide whose property it was and how much each gets from the sale. The wife would probably get half the amount of the gun (exceptions apply) even if there's nothing shady.

Interesting that he said he didn't want trouble from his wife's lawyer. Maybe he doesn't want to appear violent or capable of violence by having a gun in his name? Maybe that's why the lawyer wants a bill of sale to prove he doesn't own it any longer?

In any case, it seems to me that your gut is saying red flags and something isn't right and you don't feel comfortable with this. Go with your gut.