'I shot my wad' comes from the old days of musket guns, where a wad (strips of cloth) was packed down in the barrel to create a seal between the gunpowder and the bullet (increasing the internal pressure when the gunpowder fired and speeding the bullet).
When soldiers ran out of bullets, they would resort to "shooting their wad".
If you remember, the wad of a blank pistol round is what killed Bruce Lee's son during the filming of a movie.
From a note at 'blurtit.com'.
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