The victims said they have only lived in Milwaukee for a year, and have no idea who would have done this.
It happened near Sherman and Center on Wednesday morning.
Police said the driver was ejected and sustained life-threatening injuries.
In a statement to police, he admitted to driving the stolen vehicle, fleeing from police and discharging the gun in an attempt to throw it to police.
Anyone with information is asked to call Milwaukee police at 414-935-7360 or, to provide an anonymous tip, call Milwaukee Crime Stoppers at 414-224-TIPS.
The Milwaukee Police Department is investigating a shooting that happened in the city's Sherman Park neighborhood.