It was the prison guard's gun, was it not? Ha, I just watched the final episode the other day, but I don't remember, what happened to the gun after Norman shot Romero with it? When they found Chick, they likely wouldn't have been able to tell much about the gun that shot him, other than maybe what kind from the bullet and just write it off as another victim of Norman's in his crazy fun house.
If the gun was found at the scene by Romero's body, they might connect it to him, but since he was shot with it, they might again just assume it was Norman's. If they ever discover it was the guard's gun, they would very likely assume Romero had it, and given time of death, Norman couldn't have killed Chick because he was in custody at the time. It's also not hard to piece together that Romero would have first gone to the house looking for Norman, found Chick and killed him. I guess it all depends on how much police work they wanted to do, but in the end it didn't really matter since both possible assailants were now dead.
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