Not to discount your experience, but heat pumps are remarkably efficient. It would actually use less gas to convert it to electricity at an industrial scale, and then use that to locally power (recent) heat pumps, than it would be to burn the gas inside your home for all of its heat.
It sounds like your area has some politics in play that are either subsidizing gas or surcharging electric. It's not necessarily a bad thing, but it does put a thumb on the scale.
Air conditioners are exactly a heat pump. As are refrigerators. The only difference is that it's turned around so the hot side is inside.
The typical heat pump setup (in the US) is not reversible. That means you would also have the AC heat pump next to it, capable of moving heat in the other direction.