There's no limit to how much ammunition you can carry.
Velocity Jars increase your attack power (it applies to all sources of damage including wing attacks), Endurance Jars increase defense (taking damage from bullets only applies half your defense stat, contact damage applies the entire stat).
Sunshine and Racoon are from Gun Princess 1, the playable girl and bat in GP2 are new characters.
In Gun Princess 2, there's a swimsuit you can buy that lets you move unhindered underwater but doubles damage taken. If you die more from drowning than combat, you might wanna consider using that. If I remember correctly, Keith sells it once you reach his shop just outside the bat city in Moon Bay.
I've converted the Final Columbus source file to GameMaker Studio 1.4 format; I can't actually compile it thanks to all the deprecated features I was relying on, but it allows me to search the codebase and view rooms.
Vawe / Wave is an actual misspelling, I made the game before spellcheckers became ubiquituous and english isn't my first language.
I'm pretty sure that the frozen zone and the military base with the Oil Nuke upgrade has the most lore about Final Columbus and the war when the city fell.