I'm not entirely certain, because I'm not sure if Jolly Holliday triggers on the character having Last Word (I'm assuming it does - makes sense). I think it may trigger once you do get the gun regardless of where you are in the TTK story.
It's not a discoverable gun, like Thorn or Bad Juju or Invective (all of those that are tied to weapons bounties) and Xur has sold it in the past. It might work out that he either sells it again or, if you're able to get the Three of Coins from him before Bungie nerfs that buff, that you get a drop out in the wild off an Ultra.
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Well funny thing about that one time xur was selling the last word a few months ago, I could have been able to have gotten it with the strange coins I had at the time, but unfortunately I was at a convention for the weekend he was selling it
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Isn't that always the way with him? Either he's not selling what you want/need or when he is, you're away from console and have no way of getting it. Noodle-faced jerk.