Doesn't make sense.

On the way to the house where they are trapped, the bank robbers discuss the fact that Dillon has warned them Coyle is going to sell them out. So when they get trapped, they probably think “Bingo—it’s Coyle.” Nevertheless, as Scalise pointed out in the car, “Coyle doesn’t know where we’ve been until we’ve been there.” So I’m surprised Scalise’s lawyer was convinced enough to tell “the Man” with any certainty it was Coyle.

Exactly how the cops knew where to trap the robbers is not explained in the movie. It’s definitely Dillon who fingered them, but it seems unlikely that they would have told Dillon their precise target. I figure either Dillon overheard something, or else the cops did “tail” them—perhaps, for example, by sticking a homing device on Scalise’s car.

As to why they kept buying guns for each job—according to the novel, they did not want to be caught with weapons between jobs. Scalise and Artie were known felons—even Foley’s boss has early suspicions that they’re behind the heists--so they’re just playing it very safe between jobs. They don’t acquire weapons until just before they make their move, then they immediately get rid of them. In the book, Scalise is even having his girlfriend dispose of the loot by making small deposits in various banks under assumed names. They want to look totally innocent if they’re picked up on suspicion.

My take: In the car on the way there, Scalise and company confirm that they know Coyle could not possibly rat them out because a) Coyle doesn't know the details of their caper and b) "he's a stand-up guy." (And don't forget that Foley and Waters had talked earlier about getting a warrant for bugging Dillon and the bar.)

In prison, Scalise and company ratted out Coyle to the Man (the police)--not to the Man (the mafia)--no doubt to lessen their own sentences.

Not sure that Jackie Brown (the gun runner) was indicating Coyle at the end when he swore that he would "kill him" and "handle things" in his own way; Jackie could as easily be talking about his own supplier, who seemed pretty untrustworthy in his own right.

Doesn't actually matter if they really think Coyle ratted them out. They're already talking about getting out of the business, at least for a while, and he's the link to the gun buys. So if he gets hit, that can only help them. Sort of goes along with the whole idea of Coyle's tragic uselessness exactly at the point where being useful is the only thing that could keep him out of prison and alive. Brutal, but predictable and very real-life.