At this point in the story, Holden really seems to be falling apart and struggling to hold things together. His act of pretending to get shot in the stomach has something to do with the fact that he does not like the way he feels about himself, he knows he is broken in a way and this act is a way of trying to work through it.
In some ways it may also be a way of pushing back the reality that he is starting to have to face, the reality of going home, that he doesn't have anyplace to go and that he eventually is going to have to allow someone else to care for him.
Holden is extremely drunk at this point, as, in retrospect, he is well aware. So his pretence about being shot is directly related to this; he's just acting daft. It also shows his tendency to melodrama and to imitate the movies even though he apparently loathes them. Earlier he says: "I hate the movies like poison, but I get a bang out of imitating them." Back at Pencey, he pretended to be a tap-dancer in the style of a musical. When he is pretending to be shot, he's obviously mimicking crime and gangster movies. He emphasizes this when, on phoning Sally, he tells her that "Rocky's mob" has got him.
Holden's acting wounded at this point is also symbolic of the fact that he has been wounded emotionally; he is in a mess. But he doesn't want to let on:
I was concealing the fact that I was a wounded sonuvabitch.
Although he is wracked and confused mentally and emotionally, he hides his emotional pain. Getting blind drunk is the only escape for him by this stage in the book. However, things do get a little better after this, at least for a time. He goes to visit his kid sister Phoebe, who seems to be the only person in the entire story he has a genuine connection with.