Size matters. Gravity matters. If the gas moon is not large enough, there is not enough gravity to hold the gas together, so some of it escapes, making the gas

Size matters. Gravity matters. If the gas moon is not large enough, there is not enough gravity to hold the gas together, so some of it escapes, making the gas moon smaller so the gravity is even less, and so on. And so the gas moon will quickly 'evaporate' away. That's why the Earth has an atmosphere but the Moon doesn't. Conversely, it's why the Earth can't hold on to the lighter gases like hydrogen. Not enough gravity for that one.