They don't need one because of third party doctrine. They can just ask your phone carrier for your location and useage data and Google for your browser history. Those companies are free to sell that information to the government, which they do.
I don't recall the "NSA plan to track women's periods" in the Snowden dump. And so many gun sales are cash-and-carry that it's not something they can manage easily.
For any given person, I'm sure the FBI could figure it out with time and effort. But there's no national tracking database for all guns and pregnancies