Image from Homicide in Chicago 1870-1930 (not the officer in the story)
SHOOTS SELF INSTEAD OF DOG.
CHICAGO, Nov 20. — Policeman Mike Quigley, attempting to accommodate a customer who desired a slippery dog killed, shot himself in the leg. The dog tried to run thru Mike’s legs as the cop fired.
The Lincoln State Journal (Lincoln, Nebraska) Nov 20, 1922