I don't know if this is a known trick. So I decided to share it anyways.
After 100% The Ballad of Gay tony, replay the mission "Frosting on the cake". Play it until you get to the Use bombs part. Let the enemies kill you, and you respawn at the hospital, with unlimited sticky bombs. The ammo count shows 25000, but its more than that. The reason why 100% is required, is that the game removes the ammo limit, but unfortunately, due to a glitch, the extra ammo is removed when loading.