Why do gases under low pressure conduct electricity?
The cathode ray tube doesn't conduct electricity per se. It liberates free electrons that are simply moving through a vacuum from one end to the other. In practice, you can't create a real vacuum, so a low pressure gas (as low as possible) is used instead.

Air has a high enough dielectric strength that it will dampen the effect of the applied voltage. That is, it'll be harder to liberate free electrons to shoot down the tube.