Which S Class heroes can be hurt by firearms?
The one hero that comes to mind is King. As mentioned here, King is actually weak. He has no special abilities whatsoever, aside from being a video game expert. 

It is no overstatement to say that he is the weakest among all the heroes in the Hero Association. He's just a normal person and like any normal person, getting shot by firearms would severely hurt or incapacitate him, depending on the type or where he would be hit.