High Explosive Incendiary 20 millimeter cannon shells typically have a muzzle velocity of 3000 to 3500 feet per second, and are designed to explode on impact to destroy an aircraft engine or cause catastrophic structural damage at effective ranges up to 2 miles. An HEI 20mm would not penetrate human soft tissue and stop inside the body from the ranges the police officers were fired upon, but would either detonate or pass through and leave an exit wound. It could not pass through something else that would slow it down enough to be stopped by human soft tissue without detonating first.
A 20mm high explosive projectile is about 3/4" in diameter and about 3" long. The 20mm projectile in the show is around 1/2" in diameter and about 2" long, maybe a 50 cal. projectile at most.