If he did it then why mention the gun at all? It seems that everyone has used whatever he says anyway?
The rabbit story served 2 purposes initially:
1) to frame Sheila by saying there was a gun, loade d magazine and ammunition supply all at hand so that in the middle of a rage she could just grab it and use it because going to seek out same from the closet would not be consistent with a crazy rage but rather planning and premedicaiton.
2) so that if any of his prints were on the shell casings or gun there would be an innocent reason for that to be the case.
He initially told police he had taught Sheila how to use the murder weapon he had told them he gave her instructions and she had used it and all the other weapons.
By the time of his statements he abandoned these claims (either because he forgot what he told them or after hearing the relatives say that she never touched guns he decided at that point not to have them contradict him) . So he used the rabbit story at that point to say she saw him load the magazine and would know how to do it.
He didn't think about the family, Julie or farm workers telling police he didn't shoot rabbits. He failed to predict that and thus hadn't made up something better like planning to go target shooting but instead going back out to do more work and then going home and forgetting about it.