Seriously? You're being serious here?
The police have no right to start investigating your legal ability to carry a gun unless they can demonstrate probable cause: e.g. that you are a felon or that you are carrying out a felony.
If OC is legal, there is no probable cause involved in simply carrying a gun.
OC has restrictions. It is illegal for a felon to posses a weapon unless they’ve had their rights re-enacted, even then, they must have special permits.