Oh good, I hadn't tested the linux port so thank you very much for the feedback! The gun you start with is just a placeholder, It'll disappear when you reach the first town, the pop-up is just a reminder so you don't leave town unarmed.
I've been calling getting pushed by the donkey "Donkey Surfing" lol.
Edit: Also you can upgrade your donkey to have more HP and buy him armor in the donkey shop. The donkey's armor will persist between levels.