This is only an anecdote, and is NOT formal data, but as a resident of San Diego who likes to shoot outdoors, here is what I can tell you about ‘gunfire at the border’:
There is an area in the East County called Delzura that is an unofficial shooting area, specifically at the end of Marron Valley Road that goes right up to the border. It is very hilly in that area so there are lots of nice backstops to use that can accommodate a good number of groups, and it is not far from town, so it doesn’t involve a 1.5 hour drive out to the desert around Jacumba, which is probably the first legal place to go shooting outdoors around here.
The Border Patrol is very active in the area and often has officers right at the entrance of Marron Valley Road past the South Bay Rod and Gun Club where it turns to dirt, who will escort groups of shooters out to different areas and make sure no one is shooting towards one another, that groups are spread out by a good distance, etc. One agent I spoke to said they do this as a courtesy, but also because the background gunfire scares illegals from crossing in the area. As such, at most times of the day, and especially during the winter months, there is probably at least some gun fire in that area. I could easily see a new Border Patrol agent who was unaware of that shooting area thinking it was agents engaging in cross border fire, when there is nothing further from the truth. Although remember that the hills hide the shooters and echo the gunfire so those agents could just be assuming the worst.
I myself have gone shooting there probably a dozen times and find it very nice and convenient in a state that is otherwise pretty “gun-unfriendly” to people shooting outside of a range. Personally, I prefer shooting outdoors because you never know who the person is in the lane next to you and if they are safe, new to shooting, etc. And shooting outside is free versus paying range fees…