Ambush only goes off vs "moving" targets. This applies to Advance, Run, escape, regrouping, tanks reversing after failing order test, arty crew moving to a different gun, tank crews abandoning vehicle, etc.
So, a unit with an Ambush order cannot interrupt a Fire order.
Also, in order to attempt to Fire at the end of a turn with a unit in Ambush, you have to roll a D6 and score a 4+ to fire normally. On a 3 or less, the order die is put back into the bag and the unit is assumed to have lost its concentration. We might have done this, I don't remember.
I'm sure we'll find more places where we played something wrong, and I'll keep posting as I do. I'm REALLY glad we got that demo game in, even if we got a few things wrong, as reading through the rules has some context now. Makes it easier to picture what I'm reading about.