I agree about worrying about a ricochet. Also, it's noisy, but if you're using gun powder you're probably not worried about noise anyway.
Probably the best explanation for not shooting the lock would be either the ricochet because it's a metal door or possibly because shooting the door might only break the lock, but not so you could open it. Then you'd end up with a door that was still locked, but now with no hope of being picked.
I agree with
Jude about the type of gun though. Those are small enough to fit in a purse and are both fairly common.