Firearms insurance!
NRA ArmsCare Plus. It wouldn't cover your guns being radioactive after being nuked, but let's face it, you'd have bigger problems to deal with. But it covers a lot of other things. My home-owner's insurance covers little if anything.
I'm not sure about drywall, but everything else seems to burn at the edges first. On a double layer of even regular drywall, with the seams on one layer 16 inches away from the the seams on the other layer, even if it started to burn through at the edges of one layer, there's no seam under it for the fire to go the rest of the way through. Maybe it would slow it down a little.