Well, you would have known you were dreaming for it to have been a lucid dream. What probably happened is this, your right arm was probably positioned in such a way that it went numb while you were sleeping. During your dream scene, your subconscious was picking up on the numbness of your actual body and translated that into the dream state. So, I would guess your arm went numb at about the same time you got shot in your dream. Its really cool how the dream will cross waking life conditions into the dream state. I had a dream once where my foot got cut off. I then woke up and my cat was attacking my foot.