I think the idea of dressing on a gun shot wound is to stop the bleeding and protect against infection. So you will need a regular sterile dressing against the wound to help the blood clot and be sterile so as to protect against infection (I don't think tampons are sterile).
The tampon is designed to absorb blood, so I would think it would be ok after the sterile dressing, but not against the wound itself.
There are some brands of sterile tampons, but most are not. There is a product called “Quickclot,” which I’ve heard only good things about. It used to be a powder, and have a risk of burn, but now I understand it’s much more safe to use.
IMHO tampons are a plus to have in any event, because if there are any menstrating females about, it may be a nightmare for them to go into the shock of not having normal means. 150 years ago, women were used to dealing more with their bodily functions. Women are survivors, by nature, but I would want to relieve anything I could for the ones closest to me, at least.