Can a gun that has nickel finish be removed?
Will sanding blasting with aluminum oxide work?

I've used a remover that Brownells sells.  Mix the 2 chemicals with distilled water and drop the parts in.  In a couple of hours, the nickel is typically off.  

B

stripper

after I saw the price of the stripper, the chipping nickel on my 1911 doesn't look that bad.

Check the Midway USA video on stripping nickel plating.

Short version

Acid proof glass or plastic container
Battery acid from Autozone
Strip of lead-scrap roofing lead works great
Car battery
Jumper cables
safety equipment

Put acid in container, attach negative lead of cable to the lead strip immerse in container with acid
Attached positive lead of cable to part to be de-plated then immerse in acid
Make sure positive and negative parts don't touch

Get a full face shield that acid is way more corrosive than anything else I've worked with.

De-plated a 1903A3 bolt for a 1903A4 clone I built. Worked great.

Much bubbling will ensue 2-3 minutes and the nickel will be gone base metal unhurt, wash with copious amounts of water then oil.