Ok, so in The Killing Joke, I don't know if it's in the original or not, but I got the ... [more]
That story was part of Batman: Black and White a series where many popular writers and artists made short stories about Batman or the presence that he leaves on people. The story was probably included just because Brian Bolland did it, alot of these short stories had nothing to do with continunity so don't put to much thought in Batman getting shot at the end and there seemed to be no connection to the Killing Joke at all except that Brian Bolland did it. The stories were collected in at least two volumes and are worth reading.
cover to volume 1 (out of print I think)
Cover of Black and White volume 2