Ya they don't work because Guncon one for psone came out long before the usb connnection on guncon 2 was even possible. Sometimes Guncon2 games can work using the Guncon1 though. Ninja Assault is one such game.
If you've got a third-party gun there's a chance you might be able to get it to work since some of them work with Guncon 1/2. I know mine's that way and it's pretty nice.