"I was fresh out of pies to throw at you"
Solution 1:
According to my NOAD the informal expression "be fresh out of" means "have just sold or run out of a supply of (something)."
You can see an example also on the OALD.
So he basically meant "I ran out of pies to throw at you."
Solution 2:
To add to the dictionary definition Alenanno provides, I feel obliged to point out that the expression "fresh out of" is a colloquialism that is often used in a confrontational manner. In the film Full Metal Jacket, for instance, the belligerent Marine called "Animal Mother" confronts the film's protagonist, Private Joker, by saying: "Hey, asshole. Cowboy's wasted. You're fresh out of friends."
There are other kinds of confrontational usages, sometimes implying that the speaker is not really out of the item, just that he won't sell any to you. For example, if a black man in the South before the civil rights movement tried to buy something in a "whites only" store, he might have heard that usage in a mocking, derisive way:
Black customer: Can I buy some cigarettes here?
White proprietor: [Standing in front of shelves stocked with cigarettes] Boy, we're fresh out.
The other connotation is that the seller has just this minute run out of the item.
Do you have any blueberry pie?
Sorry, we're fresh out. The guy who came in just before you ordered the last piece.
Solution 3:
Robusto and Alenanno have explained what "fresh out of" means, but why would Sawyer be talking about throwing pies at Jack at all?
Throwing custard (or cream) pies is a long-time standard of slapstick comedy. The victim ends up covered in gunk and humiliated, but fundamentally unharmed. So what Sawyer is saying is that he would be funny by throwing custard pies at Jack, but since he doesn't have any custard pies he is pointing the gun at him instead. That isn't at all funny, but it's the best he has got.
Except that, being Sawyer, he says it with great sarcasm, leaving you not entirely sure how much of his statement is a bad joke, and how much is a threat.