You would need multiple collision boxes, and have no collision box on the part that you wish for the bullet to pass through.
-Quote from Badspot (topic 2 old)-
COLLISION - Collision box, in game collision. Anything that starts with the word "COLLISION" will be considered a collision box (so COLLISION1, COLLISION2, etc will work). Collision boxes are boxes. Complex shapes will be reduced to their bounding box. Maximum of 10 collision boxes per blb.
Keep the bold part in mind, if you're trying to get your collision boxes perfect.