I don't really think this would work.  My good friend is a gunsmith and FFL dealer. If you want to buy a gun without the government knowing you should just pay cash for one from a private seller (go somewhere like armslist.com). 

If you want to have a gun purchased and shipped within the USA (like on gunbroker.com) then it has to ship from and to a registered FFL holder who has to complete an FBI background check and keep records of the sale, so although your financial transaction was discrete the government would still have record of your purchase....

...unless you just were doing it illegally, in which case you would probably just use BTC on SR as others have mentioned.