I actually had fun playing this game, i was saying "oh crap!" when i had low ammo or there is a ton of zombies on top of me.
My suggestions is a 3rd key to change to your melee weapon like a knife just in case you have no ammo.
Speaking of ammo, Zombies should drop ammo more frequently when your low of bullets. Also there should be animations for the player and zombies, it felt a bit awkward when still images are just moving around, give it a bit of animation. Along with more sound effects to make it seem like your in the game like zombies groaning.
Sorry if i'm asking for too much but there should be a scoreboard that ranks the longest wave you've been in, you can implement this by following this guide https://www.newgrounds.io/get-started/.
Lastly, there should be a game over screen when dying then just getting teleported back to the beginning.