If your hypothetical organism is engaged with chemiluminescence involving gases would do something like the following.
Another gas phase reaction is the basis of nitric oxide detection in commercial analytic instruments applied to environmental air-quality testing. Ozone is combined with nitric oxide to form nitrogen dioxide in an activated state.
NO+O3 → NO2[◊]+ O2
The activated NO2[◊] luminesces broadband visible to infrared light as it reverts to a lower energy state.
Now nitric oxide can be produced in living creatures, but ozone might difficult.
In mammals including humans, ·NO is an important cellular signaling molecule involved in many physiological and pathological processes
Ozone is formed from dioxygen by the action of ultraviolet light and also atmospheric electrical discharges, and is present in low concentrations throughout the Earth's atmosphere (stratosphere). In total, ozone makes up only 0.6 ppm of the atmosphere.
Ozone is a powerful oxidant (far more so than dioxygen) and has many industrial and consumer applications related to oxidation. This same high oxidising potential, however, causes ozone to damage mucous and respiratory tissues in animals, and also tissues in plants, above concentrations of about 100 ppb. This makes ozone a potent respiratory hazard and pollutant near ground level. However, the ozone layer (a portion of the stratosphere with a bigger concentration of ozone, from two to eight ppm) is beneficial, preventing damaging ultraviolet light from reaching the Earth's surface, to the benefit of both plants and animals.
While ozone does have problems for living organisms, it is produced physiologically.
Ozone, along with reactive forms of oxygen such as superoxide, singlet oxygen, hydrogen peroxide, and hypochlorite ions, is naturally produced by white blood cells and other biological systems (such as the roots of marigolds) as a means of destroying foreign bodies. Ozone reacts directly with organic double bonds. Also, when ozone breaks down to dioxygen it gives rise to oxygen free radicals, which are highly reactive and capable of damaging many organic molecules. Moreover, it is believed that the powerful oxidizing properties of ozone may be a contributing factor of inflammation. The cause-and-effect relationship of how the ozone is created in the body and what it does is still under consideration and still subject to various interpretations, since other body chemical processes can trigger some of the same reactions
Your chemiluminescent signalling critter will need to produce nitric oxide and ozone and combine them in dermal cells to do its signalling. Ozone is a hazardous substance for live tissue and organs, so the critter will have to manage the ozone carefully. So provided you have a creature that can make sufficient nitric oxide and ozone, then it can send signals chemiluminescently.