i'm sure Roy knew that he was shot. he just chose to spend his last minutes with the woman he loved. plus, he promised her he'd be there for Pinapple Salad - and there's one thing Roy isn't, and that's a liar.
I'm sure all of that holds true (as true as fiction could be), but I believe the story tellers chose to hold your the audience's suspension of disbelief to a point where the question will always come up. The answer is pretty obvious. Roy knew he was going to die and wanted to be with Claudia. I bet if he was bleeding internally instead of externally he would have chose diddling her instead of the guitar.