So you basically want to be able to “patch” your game.
Blender doesn’t really provide a clear way to do this… but it’s possible.
Updating existing “parts” could be relatively easy. If you split your objects into seperate blend files and link them into your primary one, you should be able to include updates to single files.
You create a level, a character, and a gun. Now you create an empty blend file and link all 3 parts into one blend file (Using File–Append or Link, make sure “Link” is selected in the bottom right).
Now you want to add another weapon. You create it and save it as another blend file. You link it into the blend file that has the other 3 objects linked in.
The “patch” file would contain the new weapon blend and the new blend file that has now 4 objects linked in. The other weapon, the character, and the level wouldn’t have to be included unless you updated them.
Now you can create an executable file in Blender that just has a Game actuator that loads that general blend file. The general blend file should be relatively small (it doesn’t have any model data of its own, just linked in).
Hope that helps!