Executive orders are tricky.
Technically, no, they cannot be used to create new laws or to do things that are illegal. They cannot ~legally~ be used that way. As with all actions of authority it takes the action of another authority to hold them to account. Meaning that the president can issue whatever executive order he wants - if Congress or the Federal courts don't complain then it continues to be implemented.
An example of this kind of thing is the New Orleans Katrina "gun grab." The local authority issued a order that "only the police shall be armed" and it happened before any other authority could shout back "what the hell are you thinking?!"
A more frightening example is the internment of the Japanese Americans during WWII. That was an EO that the rest of the terrified sheep in the country didn't loudly protest as a violation of their constitutional rights... so it continued. To this day most Americans are not horrified at this blatant and terrible violation of Americans' rights. So they can be used badly to do illegal things if no one else cares that its illegal.
I won't get into the deal with the Arms Trade Treaty other than that I have argued at length elsewhere how it is not possible for the UN to usurp our 2nd Amendment rights via this treaty. That's not at all what the ATT does or is even attempting to do. We can by due process abandon the 2nd amendment but that has to be an internal process - one which we are already struggling with. The UN has no authority to force it even with the ATT. We really, really, really need to understand the limits of the UN's authority. Seriously. This is the international equivalent of "Am I free to go? Am I being detained?"
That the government can regulate imports and exports is.. .damn near central to what a federal government's primary role is. It is the reason, for example, that we don't have Chinese cars available in the US for 1/3 the cost of US made cars. It is a central tool for regulating the economy and protecting your interests. It can be used politically, of course, and a ban on importing some foreign weapons is political more than economic.
But the 2nd doesn't say we have the right to buy whatever weapons we want from whatever source. If our government had that working interpretation of the 2nd then we would not have the NFA. In a sense our entire gun control push-pull in this country revolved around "well regulated" since our frequent cry of "shall not be infringed" seems to fall on deaf ears. Regulating firearms imports is entirely within the legal powers of the government and no court in the country would consider a degree of it as a violation of the 2nd amendment. The question is to what degree.
If Obama bans the import of more Korean War era Garands... so what. If he bans the import of ALL foreign firearms then we have a problem big enough to challenge. Not on 2nd amendment grounds but on economic grounds.