In The Evil Within 2 the Sawed-Off Shotgun can be found in Chapter 3.
To locate the Sawed-Off Shotgun, enter the second building from the bottom on the right side of the map (you go there automatically during the second waypoint of the side mission “Rogue Signal”). In a backroom you can find a hatch that can be opened. Open it and climb down. There’s a computer. Interacting with it brings you to the armory. At the end of the armory is the Sawed-Off Shotgun with some ammunition. There are two enemies on the way through the armory.
There’s also a locker key in the elevator on your way back (where two enemies come from).
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