In South Korea, where Lucy and the rest were teleported to, there was only one dungeon and it's located in its capital Séoul. Actually, almost every dungeon that spawned was precisely in the capital of a certain city except very few peculiar and mysterious dungeons that either cannot be entered or have insanely strong creatures that no one could beat.
It was not just the special people with new abilities that went to the dungeon. Several governments didn't just stay still and decided to send soldiers with guns and bombs to dive deeper into the dungeon but none of them succeeded.
Guns were effective, so bombed, in fact, against the weak monsters such as slimes or goblins, an accurate gunshot in the skull would kill them but that was only for weak monsters.
Hobgoblin was completely unaffected by bullets and only special thick and fast bullets from a huge machine gun or destructive C4 but these are not endless and each group of soldiers can only carry a certain amount of them.