Remember that Vasquez killed an alien at point blank with a pistol though.
But against that point of the alien being immortal, they are on a space station, I'm sure whatever security firearms they were using were designed to penetrate soft targets, and not anything hardened (such as a ship hull). I've always thought that the alien, being a bio-mechanical thing, would have a higher concentration of metals in it's composition. Even humans requires basic things such as iron in our diet. This is my weak theory... The aliens grow at a very quick rate, but they would prefer to keep victims alive for hosts instead of outright killing them, so they have to get their nutrition somewhere. Nothing grows without taking in something first. So I've always thought that xenomorphs take in part of their environment, and maybe that's an explanation for the acid blood, to break down those metals. So if an alien is on a ship, where there's alot of iron or aluminum or steel, they break down small pieces of metal to feed on (the bio part of their bio-mechanical process directs this). So if I'm even vaguely guessing right, these aliens would have tougher carapaces, which means they're not soft targets, which might mean that a weapon designed to not penetrate the hull of a space station would have a difficult time breaking through their skin. Where as something meant for military grade, such as light armor piercing rounds that were used in Aliens, would make short work of them.
Maybe that's why the pistol won't kill this Alien in this game.
Everyone's going to prove me wrong in 3... 2... 1...