That would be a corporate entity trying to persuade you to perform a procedural and CFR violation for their convenience and with risk only to you; it’s not uncommon, but it’s not in your best interest either. You being called back in the first place is primarily due to them failing to arrange proper screening of the baggage upon check-in, and you being asked to surrender a key, combination, and/or use a “TSA approved lock” on baggage containing a firearm is them stacking the deck in case they’re called-out for failing to arrange proper screening prior to the bag continuing on. Implying or threatening that locks will be cut off in the event that you do not, is preying upon the general ignorance of the flying public. In the event that you have locks cut off of baggage containing firearms, I would strongly recommend that you describe the event to TSA-ContactCenter@dhs.gov such that if a trend is identified the airline personnel involved might be kindly re-educated on the matter.