A walmart gun is the same as any other gun of the same make and manufacture that you might buy anywhere else....for the most part. As far as things go, I HAVE PERSONALLY SEEN AND PURCHASED models that are largely ONLY available to Walmart, basically it's a cheaper stock on the gun or something, but the sights/finish/internals are all the same.

The rumor that walmart special orders cheaper guns is false, it's made up by gunshop owners/managers/shopkeeps to get people to spend the extra 25% and buy from them instead of walmart. Walmart basically buys in bulk and is not dependant on making a lot of money on just selling guns, they also offer no customer support, so they can sell their guns cheaper than anyone else, basically the same way they sell everything cheaper than everyone else.