The 37-year-old, from Strathfield, was transferred to Wollongong on Wednesday to receive medical care at rooms inside the Piccadilly Centre, on the corner of Crown St and Gladstone Avenue.

Wearing prison greens, he allegedly pushed passed a male and female corrective services officer and took the woman's gun.

Before he died he shot at two cars on the street outside, with one bullet travelling through the windscreen of a passing dog unit police car.

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Lothian was in prison for offences including aggravated assault, and was facing more recent charges.

He fronted Burwood Local Court in March last year on a raft of charges including police pursuit, drive recklessly, larceny and assault occasioning actual bodily harm.

He was sentenced to 14 months imprisonment, to be released on parole after five months.

He was on parole when he was charged with serious domestic violence crimes, including an allegation of choking a woman.

He denied those allegations and was due to defend himself at a February 4 hearing in Sydney.

The Mercury understands the female correctives officer involved has not returned to work.

In a statement, a spokeswoman for Corrective Services NSW said the department was investigating the circumstances surrounding the death of a 37-year-old inmate at Wollongong on Wednesday.

"We are committed to supporting all staff involved, their colleagues and families, and the man's family," she said.

"It would be inappropriate to comment further while the matter is being investigated and goes before the Coroner."

If this article raises mental health concerns for you, or someone you know, call Lifeline on 13 11 14 or Beyond Blue on 1300 224 636.