In Episode 3 (Werewolf Feud), when the vampires take stock of their weaponry, they have a handful of silver bullets, but no firearm. Not just no firearm compatible with the bullets, but no firearm at all. Why?

Keep in mind the following:

1) They have a fairly healthy stockpile of melee weapons, so we know they don't have an objection to weaponry in a broad sense.

2) Everyone seems pretty let down that they don't have a gun on hand, suggesting that no one has an objection to firearms in a specific sense ("so uncivilized", "not a real warrior's weapon", etc.).

3) Legal issues could be surmounted. In particular, percussion pistols and revolvers (the sort you'd load with a loose bullet like the ones they had around) are a lot less restricted than conventional firearms. If they wanted something more modern, they could have bought it prior to certain laws coming into effect (you could get live weapons mailed to PO boxes as late as the 1960s), steal one, or have Guillermo (or another familiar) act as a straw purchaser. Straw buying and theft are both crimes, but so is eating people.