An emotional Senator Pauline Hanson has cried on national television while being pressed on her party's links to the gun lobby in the United States, claiming her colleagues let her down by seeking donations from the NRA, something she said she would never have approved.

The fallout from Al Jazeera's expose on One Nation's links with the NRA claimed Queensland leader Steve Dickson's political scalp on Tuesday, as new tape emerged of him visiting a strip club during his trip to the US.

"I cop all this shit all the time and I'm sick of it, absolutely sick of it," the One Nation leader said as she broke down in tears on the Nine Network's A Current Affair.

She claimed her candidates appeared to pay a higher political price compared to other MPs.