Some of them change. Like the rocket launcher becomes a triple rocket launcher, the buzz blades become exploding buzz blades, the sniper rifle becomes an armor piercing sniper rifle, etc. Nothing radical where one gun becomes something else. And some don't change at all.
The best path would have been the ability to customize all your guns, and as you level up the weapon, you unlock upgraded parts that way. Then you can choose how you want them to fire. As it is, the pistol, shotgun and grenade can be changed into different weapons. For example, the options for the pistol are:
ammo type: regular shots, laser or giant bursts
shooting style: regular, charge shot, rapid fire
added effect: fire, explosive, stun
Things like that. But only those three weapons in the game can be customized.