Let's talk about the gun and its effectiveness in squelching conversation.
I have no doubt that the police are well accustomed with dealing with victims who have been threatened, or are afraid of retaliation. The police would know about the gun, they would know about the brother, and they would know to protect her if they felt she was in any credible danger. She also lives in an entirely different city, presumably hundreds of miles away from where the brother lives, and would be under police protection. If she was really afraid of being killed because she was threatened with a gun, she would never have mentioned the gun at all. Restraining orders would be in place as well.
Beyond that though, the police would still have it within their authority to go and investigate the brother, search his house for a firearm, and investigate thoroughly. Finding out someone has been threatened with a deadly weapon allows the police to take control of the investigation themselves without cooperation from the victim. When you're in a "He said, she said" case, what conversation could the gun squelch if the conversation the gun was meant to prevent has already happened?
With all that said though, the entire idea that the brother threatened her with a gun after Zay beat her up is weird to me. Did he (presumably) beat her up with his brother home and he pulled the gun there? Did he feel that bold? Did the brother come to her later and threaten her?
Nobody knows for sure what happened, but that seems off to me. My guess is that:
-Zay and his girlfriend got into a verbal fight
-He probably pushed her or hit her or did something he shouldn't have, but probably not in the black-and-blue, busted-lip, beaten-up kind of way (that doesn't heal completely after 5 days. Hell, my wife banged her leg on a stair last week and it's still blue)
-She threatened to destroy his career in anger
-The brother found out and probably called her or sent her a picture of his gun through a text message after the fact
-She (rightfully) told the police.
I also think it's worth remembering that the actions of the brother are not the same as the actions of Zay. It doesn't mean that he is blameless, but he also can't control what his brother does any more than any of us can.
Regardless, it's all speculation at this point. I have no idea if that is actually right. We don't even know conclusively that there was a threat made with a gun or what level of assault occurred (if it did at all). Everything appears to be hearsay. The only ones who know what happened are the police who investigated and the people involved, and they chose not to press any charges despite their lawful right to do so if they wanted.
I'll also say this - I don't think we should presume guilt if someone doesn't talk to the police, particularly black men in big cities. I'm not going to get political and I don't think the police are bad, but there have been enough incidences of misconduct at this point that I think it's a defensible thing to decide to do in their position.