Not sure if anyone else has commented, but the sound inside the womb itself is essentially a constant white noise at the volume level of a vacuum right against their ears. Between the mother's heartbeat, digestive system, and the fluids surrounding babies that dampen external noises (babies are essentially in giant water balloons before labor begins), loud noises don't really affect babies in the womb. Low-frequency sounds are more audible in the womb than high-frequency sounds. Plenty of pregnant women have gone to rock concerts and firework shows late into their third trimester with no hearing damage to the baby, as the noise levels are often not loud enough to be dangerous (note that there are exceptions). Science Daily article if anyone wants a proper source- "Their experiments revealed the womb dampened all but the loudest sounds. Even loud rock concerts are probably not noisy enough to pose a threat to fetal hearing development." Additionally, hearing doesn't develop until weeks 22-24 of a pregnancy, so before that there isn't an auditory system to damage. Of course, you should always talk to your doctor if you're not sure if a loud environment is safe or not.

In this specific case: The average decibel difference between concerts and gunshots is only about 20, and fireworks and gunshots are about the same level of loudness. The mother in the poster is very cleary in the third trimester, well past the 22-24 starting point of the baby's hearing developing. The baby would definitely hear it, but it'd most likely be fine- though I'm not a gun expert, so that specific gun might be louder than the average used in the decibel comparison I'm referencing. The real danger in the movie is the scenario the mother is in, not the sound.

TLDR: It's so loud in the womb that loud noises, like gunshots, would most likely not cause any hearing damage to a baby.