we had a similar situation a while back, except the gun wasnt found until the ER. we try to make it a habit to check for weapons, guns, knifes, ect. I have ran a call on a patient who did have a CCW but also had to go to the hospital with nowhere to put the gun. I offered to lock it in the ambulance safe and his wife came and got the gun before we where done cleaning the rig and in service again. but no patient gets in with their gun. I have not had to transport a cop, but others have and their usually turn their gun over to their Sgt without being prompted knowing that their going to be getting into a gown and don't have a place to lock it in the hospital.
long story short, I will repeat what sir shocksalot said, everyone gets searched. there is no reasonable expectation of privacy in an ambulance, further more no state (that I know of) allows concealed care in a hospital anyway.