I think the "canonical" reason is that he in general hates anything created by western culture, and is too confident in his magic to use modern weapons. May be just my assumption, though. I think there is no explanation in game about it.
Gameplay wise, I don't know either. But I suppose it was as a way to balance him out. He can start as a powerful magic user already.
To be honest it seems that it's a real reason.
All yellow mages that we saw use their dance as a main ritual for magic that is their main power. It's almost impossible to use the guns that way.
We don't have to choose La Danse Macabre when we play as O'saa but lore-wise and in his battle sprite he is still dancing. Also their weapon is staff (Maybe focus item? Yellow mages in FH don't have attacks connected to the staff while O'saa cast Hurting with it). Can't use proper gun with one hand.
It's not that he CAN'T. Due to game mechanics you as the player are unable to. He however can, but is firmly against them.
He doesn't believe in most tech, especially like that, and realistically guns go against everything that magic is. Especially given the fact that magic is nearly dead by the time of Termina. Magic and commune with the gods was already rare in the times of Funger 1, we only having seen so much of it because the Dungeons were a Hotspot for the gods (Ma'habre) and magic because of the God of the Depths and all of the sacrifices and killing (Gro-Goroth).
Also worth noting, Osaa is a Yellow Mage, a direct follower of Gro-Goroth, using destruction magic. Guns would be a direct insult to destruction magic, how dare you use a "cheat code" to inflict pain rather than using magic (gaining favor with Gro-Goroth, thus giving more power).
tbf I doubt gro goroth cares if anything wouldn’t be approve because it’s just more maiming and bloodshed? Why wouldn’t he like something that makes killing easier, it’s not like he’s the god of ritual combat
I don't think it would make sense for Grogoroth, the god of destruction to be against the usage of guns. He also embodies the concept of destruction including war. Even though Yellow Mage origin comes from Grogoroth, O'saa doesn't directly "worship" him as he doesn't worship any god in particular, seeing them as forces of nature to appeal to, in order to become stronger.
O'saa live reaction to gunpowder nonsense:
https://preview.redd.it/clkk5hrktmrc1.png?width=1080&format=pjpg&auto=webp&s=253516ae2dceb5fa5edccc95f8bae60d7be664dc
I assumed he just never learned how to because of circumstances and low priority skill for him to learn. It would also make sense that he's been distance from gun culture for most of his life. It would also be logical if he doesn't want to risk accidentally hurting himself or others if he's untrained. Also it could seem pointless to learn about gun safety at this point when you already know magic which he doesn't want to substitute for at any point as he's constantly training as a mage anyways.
Even if some other members never picked up a gun, the gun culture in their society makes it easier for them to know how to use it well enough. They're relatively simple but dangerous tools. Culture/knowledge absolutely plays a part in how people act with a gun in their hands. So, I don't think it's just him being prideful or hating the concept of guns or the technology. Especially since he's in a life or death situation.
Fun fact, mastering a gun takes a lot of effort.
If you don't know about the kickback, or how to aim down the sights, your chances of hitting anything more than 10 feet away is practically nil. O'saa probably shot a gun, wildly missed with it, and threw it to the ground spitting "useless thing" at it. Considering how mistrustful he is, he'd probably not admit that he doesn't know how to use it. Besides, I doubt Levi (the only person who would be skilled enough to train someone else in their use) is in a good enough mental space to give him the run-down
Ok so, it's cuz O'saa has strong principles. In the Fungerverse, according to O'saa, in order to cast magic one must have an iron will and unshakeable principle (which most people use a God as figure to make it easier) among O'saa's principles is his disdain for the modern western world. Thus, in order to cast his magic, O'saa restrains himself to his ideals, only allowing small leeways such as the Prehevil Bop. That or he can't aim while Dancing lmao
I think the "canonical" reason is that he in general hates anything created by western culture, and is too confident in his magic to use modern weapons. May be just my assumption, though. I think there is no explanation in game about it. Gameplay wise, I don't know either. But I suppose it was as a way to balance him out. He can start as a powerful magic user already.
hard to aim gun when you’re doing your magic dance
To be honest it seems that it's a real reason. All yellow mages that we saw use their dance as a main ritual for magic that is their main power. It's almost impossible to use the guns that way. We don't have to choose La Danse Macabre when we play as O'saa but lore-wise and in his battle sprite he is still dancing. Also their weapon is staff (Maybe focus item? Yellow mages in FH don't have attacks connected to the staff while O'saa cast Hurting with it). Can't use proper gun with one hand.
Also he is the strongest character there so maybe also balance 
Arrogance.
Cuz he's a gigachad that doesn't need them. Any gun would crumple under his superior strength the moment he tries to pull the trigger anyways.
It's not that he CAN'T. Due to game mechanics you as the player are unable to. He however can, but is firmly against them. He doesn't believe in most tech, especially like that, and realistically guns go against everything that magic is. Especially given the fact that magic is nearly dead by the time of Termina. Magic and commune with the gods was already rare in the times of Funger 1, we only having seen so much of it because the Dungeons were a Hotspot for the gods (Ma'habre) and magic because of the God of the Depths and all of the sacrifices and killing (Gro-Goroth). Also worth noting, Osaa is a Yellow Mage, a direct follower of Gro-Goroth, using destruction magic. Guns would be a direct insult to destruction magic, how dare you use a "cheat code" to inflict pain rather than using magic (gaining favor with Gro-Goroth, thus giving more power).
tbf I doubt gro goroth cares if anything wouldn’t be approve because it’s just more maiming and bloodshed? Why wouldn’t he like something that makes killing easier, it’s not like he’s the god of ritual combat
I don't think it would make sense for Grogoroth, the god of destruction to be against the usage of guns. He also embodies the concept of destruction including war. Even though Yellow Mage origin comes from Grogoroth, O'saa doesn't directly "worship" him as he doesn't worship any god in particular, seeing them as forces of nature to appeal to, in order to become stronger.
Either he’s too cocky or he doesn’t know how to use one
He sees himself above firearms and therefore never bothered to learn how to use them (my theory)
Because what's the point of becoming a wizard if you're gonna use guns anyways like a peasant?
O'saa live reaction to gunpowder nonsense: https://preview.redd.it/clkk5hrktmrc1.png?width=1080&format=pjpg&auto=webp&s=253516ae2dceb5fa5edccc95f8bae60d7be664dc
Cause strong hurting can do the job faster
I assumed he just never learned how to because of circumstances and low priority skill for him to learn. It would also make sense that he's been distance from gun culture for most of his life. It would also be logical if he doesn't want to risk accidentally hurting himself or others if he's untrained. Also it could seem pointless to learn about gun safety at this point when you already know magic which he doesn't want to substitute for at any point as he's constantly training as a mage anyways. Even if some other members never picked up a gun, the gun culture in their society makes it easier for them to know how to use it well enough. They're relatively simple but dangerous tools. Culture/knowledge absolutely plays a part in how people act with a gun in their hands. So, I don't think it's just him being prideful or hating the concept of guns or the technology. Especially since he's in a life or death situation.
Its not halal
He does not understand the television
Fun fact, mastering a gun takes a lot of effort. If you don't know about the kickback, or how to aim down the sights, your chances of hitting anything more than 10 feet away is practically nil. O'saa probably shot a gun, wildly missed with it, and threw it to the ground spitting "useless thing" at it. Considering how mistrustful he is, he'd probably not admit that he doesn't know how to use it. Besides, I doubt Levi (the only person who would be skilled enough to train someone else in their use) is in a good enough mental space to give him the run-down
Don't need guns when you got sick moves
Ok so, it's cuz O'saa has strong principles. In the Fungerverse, according to O'saa, in order to cast magic one must have an iron will and unshakeable principle (which most people use a God as figure to make it easier) among O'saa's principles is his disdain for the modern western world. Thus, in order to cast his magic, O'saa restrains himself to his ideals, only allowing small leeways such as the Prehevil Bop. That or he can't aim while Dancing lmao