About the only good option is to disguise the engraving.
While the engraving MIGHT be able to be removed by polishing it out, this depends on how deep it is.
If it's machine engraving, this is usually really "scratched" into the metal with a diamond point, and isn't that deep.
True hand engraving is actually cut into the metal with engraving tools and this IS deep.
While it might be possible to remove, the gun will likely have a noticeable thinning of the area, or a "dished out" look from the amount of metal that'll need to be removed.
One good option, is to have a good engraver disguise the initials by adding more engraving that "camouflages" the initials into a fancy design.
This is the method usually used for engraved guns where a new owner wants someone else's initials eliminated.
Since it's usually not possible to actually remove the initials, a good engraver simply engraves a new design around and in the original that actually makes the initials "disappear" into the new design.
In your case, instead of someones initials you'd have a fancy design on the gun, with the initials unrecognizable as part of the new design.