When the ignition is turned to On (not Start), as you noted, the pump runs for a second or two. That should prime the system, although it might take two or three cycles to really see how high it will go. Running the engine is a good idea, but if that won't work, at least the line should be primed and there's a good idea of whether or not it's reaching the right pressure. Also, once the pump stops running, the pressure should hold; if it drops rapidly, that could again indicate the cap is leaking, or there's a problem elsewhere.
Note: the fuel pressure gauge is connected into the fuel delivery line using a "T" (usually at the fuel filter connection) so that the fuel rails and fuel pressure regulator downstream of the filter are all in the system during testing.