Jess: Well, Alexi is going to die if you don't get him out of that sniper's range. And you don't want him to die, right?
A war between the Lotus and the Cossacks would be bad. Not only for the city, but for you as well, since the more attention they put into Caper City, the bigger the chance of you being found out by either group. Even if he's just a low level mook, his testimony would at least help a little bit in slowing down the coming of a gang war.
If you can estimate the direction of the bullets' source, throw some ninja stars over there while you try to drag Alexei around the corner to somewhere relatively safe. Looking at that gut shot, he may not survive long enough for help to arrive, so try to get some more information out of him (in the name of trying to keep the peace? Or for protecting the Cossacks' interests, if Jess is a good enough liar).