To be clear, in your case the heat pump would use less energy, and thus would be more efficient. Your complaint is that it would cost more to use less energy,

To be clear, in your case the heat pump would use less energy, and thus would be more efficient. Your complaint is that it would cost more to use less energy, which is true. As long as natural gas is 3x cheaper than electricity per kWh there isn’t a good incentive to switch to heat pump heating for the part of the country that experiences a cold climate.