If this video had any veracity, which it does not, he would have shown all around the doe, including releasing photos or video of the skinning process he mentioned. My best guess is a good shot through one eye and out the other.
Bullets are dangerous and deadly for sure, but they are not supernatural. The energy imparted downrange by a few hundred grains of smokeless powder does not equal the effect of a few pounds of high explosive when it comes to overpressure. Their understanding of physics are wrong at a fundamental level.