"It's exactly the kind of story I would make up if I had been shot while doing something illegal, like maybe buying drugs. But if it's true... "

Tom I don't think you should get into the business of lying:). The last thing you should do, is make it look like there is a connection to terrorism. When you lie, you don't what to say something that would interest every branch of law enforcement and make the headlines. It would be better to make it seem common like say someone shot you while doing "target practice" or you surprised some bum who happenned to have a gun.
But if you are a stupid criminal who wants his 15 min of fame, then talk it up- and then, of course, go to jail.