Let's say $f$ is a Dirichlet series which converges on the half-plane $\text{Re }s>\sigma$ to a function $f(s)$. Suppose further that $f(s)$ admits an analytic continuation to an entire function, together with the standard sort of functional equation. Let $g_n$ be a sequence of Dirichlet series, also convergent on $\text{Re }s>\sigma$, which each admit an analytic continuation and functional equation, though their precise FEs may vary. We assume that $g_n$ converges to $f$ in the following sense: for every $m>0$ there exists an $N$ for which the series $g_n$ and $f$ match on every term up to the $m$th, for all $n>N$. Note this implies that $g_n(s)$ converges to $f(s)$ for every $\text{Re }s>\sigma$.

Can it be said that $g_n(s)$ converges to $f(s)$ for any $s$ outside the domain of convergence?

Perhaps that's too much to hope for, and you can't even expect that $g_n(s)$ converges to $f(s)$ even for the point $s=\sigma$. I'd certainly be interested in a counterexample which does this!