Your father ringing you in the wee hours saying your sister who has mental health issues has gone crazy and has access to gun when children are present as well as your mum?
But the call was ambiguous. "Sheila's gone crazy, she's got a gun." Then it ended. Does it mean Sheila is on a murderous rampage or threatening as much? Or does it mean she's gone crazy and she's also got a gun? I think there's a distinction between the two, which is blunted or lost now only because we have the benefit of hindsight. Jeremy may also have thought that the call meant or implied that the police are already there and Nevill is letting Jeremy know. Or does it mean Nevill wants Jeremy to help rather than the police? Or does it mean Nevill has rung the police and has now also rung Jeremy?
Jeremy was in a situation where his father had rung him, and he did not know if his father had also rung the police or what exactly was going on. He tried to call his father back but could not do so, as the line was engaged, perhaps suggesting to Jeremy that the police were being called. It's not necessarily clear what was going on and Jeremy may have been unsure about what to do. To be fair, the police did ask Jeremy why he had not rung 999 and nowadays you would definitely expect someone to ring 999, but at the same time, the police were only expressing surprise about it after an explanation from Jeremy once he had clarified it all for himself in his own mind by giving Nevill's ambiguous call the worst possible interpretation, and only when they were all stood outside the farmhouse with no apparent sign of life.
Jeremy could, in the alternative, have said: "I've received an urgent call from my father. He says my sister has gone crazy and got a gun, but then the line went dead or he stopped talking. Has my father already called you? If not, I'm confused because I don't understand why he would call me instead of the police." Maybe 999 is the call he should have made to say this, but the situation was different then because people often had the number of their local police station and that was often used to ring the police.
Of course, another possibility is that Jeremy is innocent but was stalling intentionally in the hope that Sheila would kill the family. Maybe that was Jeremy's plan?