How to create VR gun grab/interaction like in Pavlov VR?

You may want to have a look at my tutorial here: Two hands weapon handling in VR tutorial - Unreal Engine 4 - YouTube
It will get you started with the weapon grabbing and handling.

Regarding the animation of the gun, you don’t necessarily need to use a rigged skeletal mesh. You can animate the single parts with timelines. Have a look here: Timelines | Unreal Engine Documentation