Not GURPS related, they have adequate rules for handling that.
I've found that a lot of people, both on blogs and that I know in person, have named at least one of their guns. The rule I've heard is your first gun needs a woman's name from the country of origin.
Usually weapons get either the name of a member of the opposite sex, or genderless. Presumably a gun named for the same gender is for homosexuals (Now I want something of vaguely Spanish origin named Enrique).
I have two guns with names, one of which I don't even own yet.
The first is my glock 17, Hammer. I'm not entirely sure when it received the name. I never consciously selected a name, or decided I was going to name it, or anything similar. It's just that Hammer is linked to it as a name in my mind. The only explanation I can come up with is that I began to carry the pistol while regularly playing as a Dwarven cleric. In case of trouble, I drew my hammer, that my character carried in a belt loop right where the Glock rides on my hip.
The other gun is Dragon Slayer, the .50 BMG I will someday purchase. This was decided while watching The Hobbit: The Desolation of Smaug. Once again, I didn't decide upon the name, it just kind of attached itself in my head to the eventual .50 BMG I will get.
So what guns do you have that have acquired names, deliberately chosen or otherwise, and how were those names selected?