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Gideon isn't just protected from opponent's cards, he is protected from opponents (so even cards that are used by an opponent that he doesn't own/control). Since the opponent is using the discard ability, it still can't target Gideon when rescued. In cases where cards are protected from opponents' cards, I'd have to agree that they could be discarded once the LS is rescued.
As for whether there is ever a situation where this could happen? Probably not, but we here in the Rulings Board thrive on hypotheticals...
Thus, by the time the Hero is targeted, it is no longer your opponent's card (because he doesn't control it) nor is it your card (since you don't own it) hence it is in the nebulous "no-man's land" of possession.