More generally, a gun can be used to disable Harry in all sorts of not-necessarily-fatal ways,
And that’s apparently his intent, since it’s “pointed at Harry’s wand arm”. He’s not threatening to kill Harry, but only preventing him from using his wand to do anything.
More generally, a gun can be used to disable Harry in all sorts of not-necessarily-fatal ways, something Voldemort cannot do using magic.
With that said, Voldemort is also surrounded by the bodies of Harry’s unconscious friends, so it’s not like he urgently needs extra leverage.
And that’s apparently his intent, since it’s “pointed at Harry’s wand arm”. He’s not threatening to kill Harry, but only preventing him from using his wand to do anything.