Best guess is that it was a Magnum 46 and passed through them both!
I think a touch of Borisism may be creeping in......
Was saying on radio (some self pronounced expert) that since they were making a Western 99% chance gun would be a Colt 45..either a genuine 100 year old one or newly manufactured for film.
Apparently only time they can (or supposed to) actually point gun at people is direct shots at camera. He summised, as you did, bullet passed through first victim and into second.. To be fair most firearms will go through a human body.. 45 especially so..
Suggested a blank was used but something (unknown) was in barrel.. Or if an old gun it exploded???
Chances of a full working round being in chamber (he reckoned) extremely unlikely..
But we do underestimate how much power is released in a blank, especially film set ones. (over loaded for effects)
As a kid we used to blast holes in coke cans with blanks in a Lee Enfield. 303..(and they were sleeved down to 0.22) (It was done as a demo to show us to be careful???? Different times)
A few years ago some actor as a joke put a 45 loaded with blanks to his head and fired. It killed him instantly.
I suspect an ordinary round was wrongly mixed up with blanks. Some of the blanks they use have wax bullets, so they look identical for scenes when on show.. But can't see wax bullet doing that...
Some thing has gone badly wrong, at many levels.
Terrible.