One of the key issues is that the states that might have the best records - like CA, MA, IL - are also the ones with the most restrictive anti-gun ownership laws.
IL for example has their infamous FOID card - you are not even allowed to handle ammunition, let alone a firearm, without one. Every commercial sale has to go through the State Patrol. So a query to them might shake some data loose. Even if it does, the restrictiveness of the laws, such as in Cook County, will skew your results. And it's been too many years since I had to do a school paper to remember how to address such skewing.
Have you looked at John Lott's books ""More Guns, Less Crime" and "The Bias Against Guns"?
Another issue is that records such as the ones you are seeking are quite properly not kept except in states such as the above. Just like records as to where I go to church are not kept (hopefully), nor my letters to the editor.
Good luck, and welcome to the site.