I don't think there was a funeral or anything. I believe they just buried him on the spot after changing his clothes for the Elegant Suit (without the jacket). Maybe they buried him with his gun because it meant he didn't go down without a fight. Or it may just have been an oversight by the developpers.
Years after John Marston stopped the curse sweeping the world his life came to an end but once again the foolish treasure hunters have awaken the curse once more. John Marston rises from his grave his soul now trapped inside a wretched undead. John pulls out a rusty flask filled with holy water from his pocket he now knows that god has given him one last chance to cleanse the land of the undead and hopefully find peace at last.....(sorry couldn't help it I hope this message isn't annoying to anyone also great work on this you really nailed the detail and I love the dark gloomy style.)
In Red Dead Redemption, you play John Marston, a cowboy out to kill Bill Williamson and protect his family. In Undead Nightmare, you play John Marston, a zombie cowboy that can hunt sasquatch with his exploding Blunderbuss whilst riding a unicorn.