I did some digging around and someone theorized that Heather was being stalked by the superfan. That's why Heather felt like her life was in danger (well she said she felt like that all the time, but maybe the stalker situation was her boiling point).
Heather asked for Jill's gun because she intended to murder the superfan and set it up as self defense. (It'd be easy to call out the superfan by messaging her through instagram)
Thoughts?
Writing it out though I saw a simple flaw. If Heather directly messaged the superfan, the superfan would've instantly messaged her friends or posted something.