What was Dally holding when he got shot?

Dally was holding an unloaded gun when he was shot.

Dally raised the gun, and I thought: You blasted fool. They don't know you're only bluffing. And even as the policemen's guns spit fire into the night I knew that was what Dally wanted. He was jerked half around by the impact of the bullets, then slowly crumpled with a look of grim triumph on his face. He was dead before he hit the ground. But I knew that was what he wanted, even as the lot echoed with the cracks of shots, even as I begged silently--- Please, not him... not him and Johnny both ---I knew he would be dead, because Dally Winston wanted to be dead and he always got what he wanted.