Gas has storage constraints, and once you start talking about physical delivery, the nice abstraction of buying/ selling futures starts to leak.

Perhaps the gas generator company bought some gas for delivery today, and has some more arriving tomorrow. When they locked in those deliveries, forecast electricity prices for today were greater than gas prices.

Unlike futures, the gas in your storage tank isn't perfectly fungible (or even convertible at a cost) with gas next month or the gas in someone else's power station across the country.