It does seem unlikely
Given the close range between shooter and shotee, wind, etc., this story just doesn't seem too likely. Further, a pistol bullet would probably have a relatively low terminal velocity. Of course, a Klansman's head would've offer much resistance once it got past the dense bone. More likely, the idiot shooter just plain shot the idiot inductee, although the entrance and exit wounds seem to indicate it went through his skull from top to bottom. Could he have been lying down?