In all seriousness, a lot depends on the specific arrangement you had. Are/were you A) "living with" her as in sharing living quarters and any fringe benefits, or are/were you B) renting a room?
If A you may have to/want to charge her with theft/conversion of property, as she disposed of private property she had no legal right to dispose of.
If B you have all sorts of 4th Amendment issues to consider, but many of them hinge on where the bed was and whether or not you could control access to that space (lock the door?) as well as theft/conversion of private property.
In either case, the first step is to establish that you are the legal owner - paper records.
The next step is to get a copy of whatever paperwork the police created. (They did create at least a receipt, right?) It would also help to get her to sign a statement explaining what she did. (Do not bother going into why she did it.)
Find the police station the cops that took the gun came from. See the highest-ranking cop there even if you have to go through all the layers of underlings in order to get to him. Show up with a written complaint stating as much as yu factually know, and separately what you have been told by "the woman I'm living with" and anybody else that might know anything about what happened. (Have several copies with you.)
You might want to also check with the "evidence room" at the local police station to find out if they are holding your gun or if not where they think it probably went. Ask for copies of the "chain of evidence" form if they indicate that they have it/had it. Make sure that names and badge numbers are legible - ask for them to write them on the form if you cannot read them - and get them to initial/badge # + date any notations they make on your copy(ies).
Just so you know - there are a ot of unanswered matters that should be very easy for you to answer, starting with the receipt given for the gun.
Sadly, I am aware that there are some amazingly niave people out there. You might be one of them. But you can overcome that and one way is to answer the various questions asked.
stay safe.
Edited to add:
HOW DID YOU FIND OUT ABOUT OCDO AND WHY DID YOU CHOOSE TO ASK YOUR QUESTION HERE?
