he had a gun in the first half of the season finale. he shot the woman who was approaching annie and the state department aide in london. there was also one other episode where he had it out, but didn't shoot.
That was in London, though. I think the distinction that Piper Perabo (and the producer in the video I watched on the USA website. I can't find the video now, but I'll keep looking) was making is that typically CIA officers don't carry guns (the way police officers and FBI agents do) on US soil. I was saying that I think the reason for Jai having the gun in the art auction episode was because Joan knew that Annie would go looking for trouble ('cause, you know, it's Annie) and sent Jai as back up. So, the gun would have been necessary at that point. At other times, however, neither he nor Annie have carried guns in the sense that they strap on a holster before leaving for work.