If someone plays Lucian, does the Weapon Master effect happen first before Gust?

To address your question, it is important to clarify a few points: First, Lucian, Gunslinger does not have the Weaponmaster keyword, so he does not have a "Weaponmaster effect" that triggers when he is played.

If you were playing a different unit that did have Weaponmaster (which is a triggered ability that uses the chain), the interaction with Gust would work as follows:

The Sequence of Events

1. Playing the Unit: You play the unit with Weaponmaster from your hand. You pay its cost and it enters the battlefield.
2. Triggered Ability: The Weaponmaster keyword triggers: "When you play me, you may choose a Card you control with the Equipment tag... to attach it to this unit." This ability is placed on the chain.
3. Reaction Window: Because this triggered ability is now on the chain, your opponent gains priority and can play Gust as a reaction.
4. Opponent's Action: Your opponent targets your unit with Gust.
5. Resolution (LIFO - Last-In, First-Out):
   • Gust Resolves: Gust checks if its target (your unit) is still on the battlefield and still meets its targeting requirement (3 Might or less). If it does, Gust returns your unit to your hand.
   • Weaponmaster Fails: The Weaponmaster triggered ability then attempts to resolve. Because your unit is no longer on the battlefield, the target is now invalid. The ability "whiffs" (resolves with no effect), and the equipment remains at its current location.

Summary

If a unit did have Weaponmaster, you would place the trigger on the chain upon playing the unit. Your opponent would then have the opportunity to react with Gust before that trigger resolves. If Gust succeeds, your unit is returned to your hand before it can equip the item.