I don't see a problem with the call to Jeremy, this is quite plausible to me anyway. It's harder to fit in the second call to the Police but I do believe one was made.
Could Nevil have believed the gun was maybe in a safe condition, or that Sheila although she ran off with the gun was not actually intending to use it?
I'm not saying there is a problem with the call to Jeremy; I'm merely explaining how - as I see it - the scenario must work. David's scenario unfortunately can't work in my view because Nevill would not just let Sheila run off while he rings Jeremy. Instead, Sheila would have to be present and Nevill then terminates the call only when she runs off. I honestly don't see how it could work any other way if Jeremy is innocent. Nevill would not let Sheila run around the house with a loaded gun, nor would he assume that the gun is unloaded. He is a former RAF pilot and would have sufficient sense to realise the danger of any gun, loaded or presumed not loaded.
A key rule around guns is that you always assume they is loaded. You never ever rely on a belief that a gun is unloaded. People have been killed that way. I have been around guns and even if I knew a gun were unloaded, I would always assume that it is still loaded and never let somebody point it at somebody else. Note also that even if the magazine was not in the rifle at this point, it could still have had a cartridge in the breach.
I don't pretend my scenario is free of problems. A basic problem with my scenario is that you have to wonder why Nevill didn't tackle Sheila for the gun and take it off her. It must be that he either did and was injured and then resorted to the phone, or he tried to and couldn't catch her and in the end resorted to stalling her by telephoning Jeremy. The latter seems the more plausible of the two. I certainly wouldn't assume that just because she was female, short and slight, that this means Nevill could tackle her easily. That definitely cannot be assumed.