Like my old mentor from Alaska (pro retriever and gun dog trainer for 40yrs) would tell me "Hunting dogs aren't born gun shy, they are made gun shy".
Things as simple as the cans or metal stuff in a can that folks use to scare dogs off of furniture in the house. Firecrackers while the dog is crated and cooped up with nowhere to go. Young kids make loud and I mean loud sounds right at the dog when they are a pup...
All of these things and there are more, can contribute to gun shyness.
Now, how do you cure that. Very, very slowly. Start somewhere were the dog feels "safe". Dogs are place oriented animals, especially retrievers. I have been training, hunting, raising, breeding, running field trials and hunt tests with retrievers since 1992.
Take a small kids cap pistol and whatever the favorite type of toy, ball or training bumper that the dog likes. Throw it around in the yard/field (again somewhere that the dog feels safe and comfortable, reason for this is that if you take the dog somewhere like the hunting field, well then they will know something is up and theirs and your stress level will go up).
So back to the yard and ball....have fun keep it fun!!! Did I say fun? Then after a few minutes, bang, shoot the KIDS capgun (this way if any neighbors or anyone says anything it is perfectly legal to shoot a capgun on your own property) See how the dog responds, did they run, jump, freak out in anyway or did they just keep on playing and chasing the ball.
If it did not affect them, then move closer and closer. If it did affect them, then have the dog far away from you and then move closer.
Hopefully you can have the dog by your side shooting the capgun. Then go out to the field (somewhere you hunt) and use the capgun. Then go to Sportsman's or Dicks buy some blank 12 or 20gauge popper shells (usually reloads with just a .409 shotgun primer and no powder or shot, sometimes bird seed in them).
Try shooting them (they don't kick and cheaper to shoot). Or use a blank starter pistol. Again start far away have the dog having fun chasing the ball or whatever and then move closer.
I hope this helps...good luck...
Greg