i think that you need to get a screwdriver-like weapon as a backup weapon for when you run out of ammo, like a dagger or something. if you run out of ammo in a level, it's over. it's unfair and there should always be at least 1 method of dealing damage
I feel like things are set up in such a way that unless you're firing haphazardly or you've made a lot of mistakes you're going to be alright
Unless you've picked up a Crown that modifies chests or drops (and in that case it's your own fault), each level should give you a weapon chest containing ammo and potentially a weapon that can tap into an ammo reserve you haven't been using (or a melee), plus ammo chests and the fact that if you're under 20% ammo for both equipped weapons you have a very good chance to find more upon killing an enemy that can drop pickups
Ammo conservation is a big part of the game and I think Vlambeer wants you to have to juggle weapons, forcing you to leave some behind and avoid using ammo-eaters for too long (like the Plasma Cannon and Heavy Assault Rifle for instance...) so that if you end up empty you've only got yourself to blame, if running out is a major concern for you it might be wise to take mutations like Recycle Gland or Gamma Guts, or play characters like Horror or Rebel
You should bring that topic up in a development stream though if you can make it, I'm just guessing here and they could have a completely different explanation for the way it is now, they might even consider changing it in the future if it proves to be a problem
