Companies that provide armed security for cargo ships for example will keep the weapons on a boat at sea in international waters, transfer them to the cargo ship at the beginning of their security detail, then take them off with another boat before the cargo ship proceeds.
I also think some (almost certainly American) people underestimate how big an issue importing a firearm or possession of an unlicensed firearm can be in most of the world. It’s either many months of paperwork and almost guaranteed refusal, or risking many years in prison for an unlicensed firearm.