Ozonolysis of nitronate
What is the mechanism for the ozonolysis of a nitronate anion? 


Probably very analogous to ozonolysis of a double bond.



A typical synthetic procedure is detailed in OrgSyn.  Note the addition of dimethylsulfide during work-up; this is common in ozonolysis reactions as it helps reduce the ozonide and also reduces any other dangerous, highly oxidized by-products.  The discussion section of the OrgSyn article says,


  "There are various methods available for transforming a nitro group
  into a carbonyl group, including the Nef reaction (strongly acidic),²
  permanganate oxidation of nitronate anions (basic, oxidative),³
  persulfate oxidation of nitronates (basic, oxidative),⁴ treatment with
  a mixture of organic and inorganic nitrite (neutral, oxidative),⁵ and
  treatment of either a free nitro compound or a nitronate anion with
  aqueous titanium(III) (neutral, reductive).⁶ Each method is limited,
  however, by poor yield, inconvenience, or lack of generality.
  
  With the proviso that the substrate not contain a reactive
  carbon-carbon double bond, the present ozonolysis procedure⁷ appears
  to provide a convenient and efficient method for carrying out the
  desired "


The Nef Reaction is mentioned above, it is worth taking a look at the linked article since the Nef reaction is complementary to the ozonolysis reaction of nitronates.  You may also find the "Reaction mechanism" section interesting.


  What gas is produced in this reaction? 


According to the above mechanism, no gas would be generated, rather $\ce{NO3^{-}}$ is produced


  Is there any chemoselectivity in the presence of a double C=C bond in the molecule?


No, as mentioned in the OrgSyn reference, this approach can't be used when other double bonds are present.