Are the fingers adjustable to hold something like a gun?

The fingers are soft and pliable like a rubber glove with stuffing, but have no wiring. So we would suggest using clear fishing line to attach an object to the hand... or add wire to the inside of each finger.

What material is this dummy stuffed with?

Polyester fiberfill. It is very lightly stuffed to save on shipping. There is a hole in the bag to add stiff wire for better poseability or to add more stuffing. We suggest clean used plastic grocery bags, which are light and waterproof and FREE!

Does this dummy stands on it own?

*NOT free-standing. Must be supported to maintain a pose, either by leaning on furniture or another prop, table etc, or by adding wire or other supports to maintain a chosen pose. If you want it to stand, you would need to attach it to something, or insert wires, or pvc tubes, dowels or pipes. *We have used clear 30-60 lb test fishing line to hang or support them. We have also used old non-working standing torch lamp bases with poles as supports for props, which we have gotten from garage sales & thrift shops. They already have weighted bases, and can attach another support pole to it with duct tape if not tall enough. (Of course, if they are working lamps, you should not turn them on to prevent fire hazard)

Could this be used as a pillow. I'm looking for a body pillow that shaped like a person about 6 foot tall. I like sleeping with my leg over it.

I suppose it could be used as a body pillow. It is squishy enough, and has a fabric cover. However, not sure how you would keep it clean. It may not be machine washable. We have not tried anything but surface washing. If you scotchgard the fabric, it may be easier to keep clean, but that may add an unpleasant feel or odor to the fabric.