This is a reminder that coal, operating under regulation releases more radioactive material over a few decades than a Nuclear power plants worst failure mode.
However, coal contains (depending on the source), mercury, sulfur, radioactive elements, tars, rare earth elements.
Some of these are volatile when burned. Some become ash.
A plant running anthracite is naturally very clean.
The plant has to have scrubbers to remove the volatile ones.
Especially the yellow smoke (likely sulfur)
However, a one time emission of sulfur is likely insignificant.
Finally you mentioned it could be natural gas. Natural gas, mostly methane, is also colorless except it releases water vapor. Given the right conditions, you might see plumes of white smoke coming out - that’s harmless water vapor.