It might be nice to ask HER why the extra layer of the gun thing is necessary. I know y'all are ninja warriors n shizznit, but for the rest of us non-MMA experts, I can see the attraction of the gun shape, hypothetically.
There's a massive mental element to self-defense when one is lacking in physical size. Suggest she enroll in classes to start to address it. She may rethink her approach, depending on what she feels she needs to do to improve her odds. But let her make that decision.
Chemical sprays in general are ill advised because of how dangerous they can be to the user in covered parking lots or other wind sheltered environments (or anything indoors).
You bring up an excellent point about the conversation though. A discussion of the feels is smart. After talking through the feels, see if she wants to talk about actual practical solutions to those feels.
I mean, I don't advise anyone to carry a weapon they are not trained in, better to carry a personal alarm, but I would suggest carrying an actual firearm illegally (a terrible idea untrained) before a phony spray gun.
One of the first and most important rules of self defense is you never rely on their fear to aid you.
If you are attacked by a predator, they have already selected you because they believe you are a suitable prey target. Things happen very, very fast in these situations, and getting them to shift that fast thinking response is both unusual and difficult.