Well, we all have different opinions, but I would have told her to close the door and call the Police. Then while she is on the phone with the 911 Operator she can retrieve the gun.
This could potentially be dangerous. If he did intend her harm and he knew she was about to call the police this forces him into the decision of making his move immediately and she has no means to defend herself. Granted he already allowed her to make one phonecall but in a similar situation I would suggest arming yourself before calling the police. If she is attacked while on the phone with police the only thing the police will do is hear the attack, being on the phone with them is no protection. If you or a loved one feels threatened retrieving the means to defend yourself is the first priority, notifying the police is second.