That document lists the COP for an electric heat pump with an external temperature between 35F and 40F at around 3.25. The definition from the article you link

That document lists the COP for an electric heat pump with an external temperature between 35F and 40F at around 3.25. The definition from the article you linked defines COP as “ ratio of useful heating or cooling provided to work (energy) required”. So at that temperature range, it’s still heating more than it’s consuming energy. A natural gas space heater cannot exceed a coefficient of performance of 1 (it would violate energy conservation). You’re still not comparing the same types of efficiencies, they have different denominators.