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Like most large cities, Moscow had a coal gas supply during this period. Coal gas is made, naturally enough, from coal. There's a short history of the Moscow gas system online. To summarise:
The initial system was put in for street lighting in 1865, by entrepreneurs from England and Holland. By 1905, there were over 215 kilometres of gas pipeline, 8735 gas lights in the street, and 3720 private consumers. In 1914, gas production was 18.7 million cubic metres per year, and in 1941, it was 176.1 million cubic metres per year, with 62,300 apartments connected. That was a fairly small proportion of the housing in Moscow. I suspect most of the gas was used by industrial plant, since there was plenty of that in Moscow. In 1946, there was a start on constructing natural gas pipelines. From 1948, liquefied gas was sold in tanks. In 1957, the production of coal gas in Moscow ended.