Where can I find the Undertaker gun?

Yes it should have dropped the Undertaker if it was the first Crimson Heart that you broke.

No you are not doomed. Firstly it's not that important of a weapon. It's stats are similar to the Flintlock Pistol which you can buy from the Arms Dealer for 5 gold. You should have picked up some ammo when you destroyed the Crimson Heart so keeping that in your inventory will allow the Arms Dealer to spawn given you have met the housing requirements.

If you are keen on the Undertaker, you can keep smashing Crimson Hearts until one get's dropped (each heart after the first has a 20% chance (25% on console) to drop the Undertaker). Just be careful because after you break 3 Crimson Hearts total, the Brain of Cthulhu will spawn. You can also get an Undertaker by opening Crimson Crates (17% chance).

While you have missed the first, guaranteed drop, it's still possible to get an Undertaker. You can just keep breaking hearts to try to get another one.

The other answers are correct and give detailed explanations about drop rates and how to get another Undertaker gun. However, I'd like to add that if your inventory is full when you destroy the Crimson Heart, the item that drops will fall to the floor. If you went back to base, emptied your inventory, and returned, you could still pick up the dropped item.

This holds true for any item spawned by destroying things in the world, including blocks, ores, decorations, dye materials (such as Yellow Marigolds or Blueberry Bushes), or almost anything else.