Getting three weapons
After you get a pistol from Keyes, Bungie's programming can go a little screwy if you rush straight off the bridge without waiting for a checkpoint to appear. I've sometimes found myself facing Grunts with no pistol ammo. Then again, it's never been clear where the ammo comes from when you do get it. Sometimes the Grunts aren't even there, and my pistol seems lost without trace.
As part of this screwiness, it's possible to end up with three weapons to cycle through. Yes, three and not two. Here's how to do it (and thanks to RedButton who emailed me some help, as I wasn't sure how this odd situation had happened to me). After the cutscene with Keyes ends (just skip it), run to the mess room. As long as you're quick, you don't meet any Grunts on the way and you don't seem to have a useable pistol. Pick up the assault rifle and do some killing. Pick up an enemy weapon and you now have two useable weapons. Go back to the bridge. When you get a checkpoint there, turn around and head back to the mess room. Before you reach it, the long-lost Grunts finally materialize with cries of "Yipe!" and suchlike. You can now cycle to a loaded pistol, and you've got three weapon slots from here on.
Where's your ammo Keyes?
And hey, why does Keyes not keep his pistol loaded? Fat lot of good it's going to do him when the Elites come knocking. Later in the game, he further enhances his reputation as a bit of a silly old duffer by doing his best to rush headlong into the enemy and get himself killed. Don't you hate those 'Protect the cavalier nitwit' tasks that games sometimes throw at you?