I think that's a Zappa myth. It's been told various ways, including yours, but also another in which he encourages the attacker to walk with the group Zappa's

I think that's a Zappa myth. It's been told various ways, including yours, but also another in which he encourages the attacker to walk with the group Zappa's with to a lake, wherein they then throw their belongings into it, including the gun.