This Coast Guard story is what happens when cable news networks report something without bothering to verify sources and facts. No shots fired and the Coast Guard underscored via radio that it was just an exercise.
From what I heard in the Coast Guard press conference, the training exercise was overheard and relayed by a civilian radio jockey. Reliable! Some random guy overheard the words "bang, bang" without hearing the intial "this is just an exercise" message and consequently freaked out.
It reminds me of all the times cable news has accidently put a Howard Stern listener masquerading as a law enforcement official on the air during a breaking news story.