I experience the same thing with loud noises, and I think I have made my point in other posts about how I feel about guns.

Call the police and let them handle it. Let them know you are fearful, they are disturbing the peace, there is a baby there with them, and you feel both you and your dog are in danger. Hopefully, they will come out and give these 'ol boys/ladies a tutorial on proper and responsible behavior when hadling / using firearms.

Best wishes to you