What gas is released during dissolving NaOH
I don't think any gas is released.  You are probably experiencing dust or mist that contains NaOH itself, or tiny amounts of gas phase NaOH.  

There is related discussion at a soapmaking website 

http://www.tikvah.com/medical/lye.html

See also "Pneumothorax following inhalation of caustic soda fumes" Archives of Emergency Medicine, 1988, 5, 45-47