"A person entered the store brandishing a weapon, which was described as looking like a pistol,'' police said.
"The storekeeper escaped to a safe area and called police.''
Earlier, the shop owner told the Otago Daily Times the woman walked in, pointed a handgun at him and said: "I don't want to hurt you.''
After running into an adjoining flat and alerting family members, he called 111.
"She just ran away - it was just three or four seconds.''
The woman did not take anything.
Police are appealing for anyone who may have seen someone acting suspiciously or a suspicious vehicle in the area at the time to contact officers immediately.
Can you help? Call Dunedin Police: (03) 471 4800 or CrimeStoppers anonymous: 0800 555 111.