I think there's really only one logical way for Roig to think a gunman had her phone:

She saw a gunman take her phone.

It makes no sense to be lead to safety from the school, being told the gunman is dead, and assume he has your phone and somehow poses a threat.

It makes no sense to be lead to safety from the school being told the gunman is dead, or even suspecting a second gunman is at large, and assume he's going to sneak back in through police and get your phone.

The only way I can see that you'd think a gunman had your phone is if a gunman took your phone while you were watching.