Consider the environment in which the propellent burns in a firearm. It is cramped space formerly packed tightly with stuff (the propellent, any necessary wadding and the bullet itself). There is damn little room for any atmosphere at all.
Where---especially in a cartridge system---do you think the oxidizer (NB: not necessarily oxygen!) is coming from anyway?
Most explosives do not run on atmospheric oxygen, then run on the oxidizer built in to the formulation. The only exceptions that I know of are fuel--air explosives and those are a specialized business.
You should expect cartridge firearms to work perfectly in space unless their parts vacuum weld. I'd be a little concerned about open-pan loose-power systems (do they initially burn environmental $\mathrm{O}_2$?, and in microgravity will they blow the power away before they initiate burning down the hole?), but I'd still take even odds that they work.