IDK about the US, but I think this wouldn't actually be legal anywhere. In Portugal, for example, there's some rules about this, even for personal consumption. I didn't read anything about gerbils in particular but it's not necessarily as straight-forward as just buying some animals, killing, and cooking them. It's because of public health laws.
I don't know about the buying from a pet shop and grilling in the parking lot part, but in Peru for example they eat Guinea pigs, which aren't that far off gerbils, so in that respect it might not be illegal everywhere