Several thoughts....
I still think you might have fun renting a Photron SA5 (
link), but I acknowledge it may not be up to the resolution you're after.... You didn't say what your desired media is. I mean, is this for a webpage? A magazine article? 8x10 glossies? Posters? Billboards?
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I wonder if a synchroballistic mirror could be married to an off the shelf strobe. More to the point....
Imagine a strobe enclosed in a box that only has one opening. In front of that opening is a small mirror that's spinning very fast(*). When your strobe lights, the mirror sweeps a beam of light across the gun and bullet. Since your subject depends upon reflected light, if the mirror isn't in the "right" orientation any light coming off the strobe is irrelevant as it goes elsewhere. Thus, a 1/40,000th strobe may only illuminate the subject for 1/400,000 of a second (or whatever).
I actually have little doubt that this would work from a timing perspective. The question is whether or not your camera would gather enough light for a good pic given that it will now only be gathering a small fraction of the light emitted by the strobe.
(*) A prism may actually work better, but it's easier to visualize with a mirror.
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Zippy has an interesting thought regarding non-standard bullet composition. What if your bullet had a deeply hollow base. Think: exagerated Bridgeman cup. Such a bullet would be much lighter but retain all outward appearances of a normall bullet. Further, since it's structure is significantly altered, it would probably be pretty easy to remove from the barrel should it become lodged.