I think firearm usage for such type of intimidation is in inevitable, at least in the US if not elsewhere. I just wanted to know if there are any historical accounts of their usage. (By usage, I don't mean if someone fired a shot but if the farmers were just carrying it for intimidation/a show of strength)
I've done a search for "penny auction", "great depression", "firearm", "gun" on my university library, Google Scholar and general Google search. From a brief look at some of the results, I couldn't find any such instance. Although some instances of such penny auctions, for example page 92 makes it hard for me to believe that the farmers weren't carrying firearms.