The Piercing Rifle is one of the cooler firearms you can find in Bloodborne: The Old Hunters. You can only purchase it from the Messenger Bath in the Hunter’s Dream. In order to make it available for purchase, you must first obtain the Firing Hunter Badge.
From the Hunter’s Nightmare lamp, turn right and head through the door you opened as a shortcut. Your target destination is the house where you’ll find the dead old man in the wheelchair. Past the house, head up the stairs where you’d normally find the Central Yharnam lamp. Instead of a lamp, you’ll find a beast mode hunter who can easily kill you with just one combo. I’d advise using a fast weapon here as you’ll want to get some quick hits in before backing away. The hunter is extremely agile, and it’ll be difficult if you use a heavier weapon.
After killing the hunter, examine his corpse for the Firing Hunter Badge and you’ll be able to buy the Piercing Rifle from the Hunter’s Dream.
“A rifle engineered by the Oto Workshop, the precursor to the workshop of the heretical Powder Kegs.
Designed for hunting on narrow streets, this weapon has been optimized to cause perforation wounds, but is unfit for reliably counter attacks.”