The only two guns that fully reload after you die are the Simple Shotgun and the Pixel Gun. The other guns don't reload. Don't worry, you can find ammo pickups all the time so running out may not be a concern if you have a high capacity weapon. Plus, once you have a large amount of guns, you don't have to worry running out because you can just switch.
Also, are you buying the Combat Rifle? If so, once you fully upgrade it, it becomes one of the strongest weapons in the game. :)