so for cthugha's final combat, if you were to use say the .18 derringer of the deputy's pistol, both of which can't be lost or stolen, does cthugha still burn them to a crisp or no?

Nope! Those items specifically say "can't." The rule of thumb I use is "can't" overrides "can."

This good news for Finn Edwards, specifically.

"Can't be lost" weapons are pretty rare so I don't see this as much of an exploit. Just keep Finn alive.