Hi Helix0 There are a couple of actions that may help. They are listed under Misc sprite actions. 1 sets the "bullets" detection of solids on or off and the other is a filter where you can tell it to ignore specific objects completely. To see what I mean set up an on start of layout click add action choose your sprite and take a look under Misc you'll see see this (don't mind the doodle lol).
You can do things like when bullet on collision with "object" and object is playing a certain animation or is a certain frame then ignore the collision. Hard to explain but basically you can "ignore or penetrate" an object wearing specific say armor or turn on armor penetration when a certain gun is equipped things like that. I can go more in depth if needed just let me know. Hope this helps.