When the term came into usage in the first decade of the 20th century, "gun" derived from the Yiddish word meaning "thief," variously transliterated into English as ganef, gonif, goniff, or ganof, and not from "gun" in the sense of a firearm.
"Moll" derives from Molly, a diminutive of Mary, used as a euphemism for whore or prostitute.
In the U.S., the term has mostly been applied a woman associating with an American gangster of the 1920s and '30s, and in most cases remarkable only because of his notoriety. Extended use of the term without awareness of the Yiddish root, however, has invited interpretations of "gun" as suggesting more than simply criminal associations. Bonnie Parker and Blanche Barrow were gun molls in this stronger sense, and especially notable examples in general, because of their accompanying the rest of the Barrow Gang to the planned locations of violent crimes, and in Parker's case, apparently directly assisting at least to the extent of loading guns in the midst of shootouts.