Why do gases coexist as liquid and vapour?
Vapor-liquid coexistence.


This is possible because changing the system's molar volume $V_\mathrm m$ does not affect the Gibbs free energy of either phase, so equality of the Gibbs free energy (that is, phase coexistence,) can be maintained for a range of $V_\mathrm m$; this is the coexistence region $\mathrm{XCEBY}$.

On the other hand, changing $p$ and $T$ will affect the Gibbs free energy, and if instead we plot this phase diagram on the $p,T$-plane, the entire coexistence region $\mathrm{XCEBY}$ will reduce to a single curve, the liquid-vapor coexistence curve.

In other words: Fix $T$. Only one value of $p$ results in phase coexistence; phase coexistence is a curve on the $p,T$-plane. A range of $V_\mathrm m$ results in phase coexistence; phase coexistence is a region on the $p,V_\mathrm m$-plane.


Phase transitions without coexistence.


This is made possible because the liquid and vapor phases share continuous translational symmetry. In contrast, a phase transition from the liquid phase to a solid, crystalline phase requires breaking this continuous symmetry, resulting instead in the discrete translational symmetry possessed by a crystalline lattice. This shared symmetry permits the possibility of continuously going from one phase to the other without an explicit phase transition.

This possibility is realized past the critical temperature, the temperature represented by the critical point $\mathrm E$. Past the critical isotherm identified by line segment $\mathrm{HE}$ is the supercritical fluid "phase", which shares properties of both liquid and vapor. Isotherms like $\mathrm{GF}$ do not represent a liquid-vapor transition, because the species remains as a supercritical fluid throughout. A liquid-vapor transition that bypasses the coexistence region, like $\mathrm{AFGHD}$, is a continuous transformation from liquid to supercritical fluid to vapor, rather than a discrete phase transition.