Measure Natural Gas Pressure with arduino?
This is a fantastic idea, but you should be a bit more informed before you start the project. 

I do not think the people suffocate into CO2 because CO2 is not inflammable under normal conditions so it is not used to feed the heaters. It's produced by the heater while it burns. Most probably the heater uses methane (CH4), ethane (C2H6) or propane (C3H8). 

To measure the pressure, you have to insert the sensor within the gas pipe. If this is done incorrect, there is much more danger. So you have to find a fool proved method to add the sensor. 

The selection of the sensor depends also on the pressure that can be considered as normal. Another value you have to find out is: how much decreases the pressure if the burner (or more burners) are switched on. i.e at which pressure do you assume the burner's flame to go out. This value must be well known.

When you know the max and min pressure values, you can look for a sensor that can safely measure this values. It should also be included in an enclosing that can be attached to the gas pipeline. 

Attention: If the pressure drops just for a small moment, the flame might go off and the sensors might not be aware of that event.

Do you know, there are alternatives to measure the pressure?

A Gas Sensor in the room checks, if there is methane, ethane or propane in the air in the room. ( this is the most secure method ) There are cheap gas sensors from china, (e.g. MQ-02), but I do not know much about them. You can also combine them with a CO2 and/or CO sensors to sense whether the chimney is clogged. 

A high temperature sensor near the flame recognizes if the flame is out. But this is difficult to accomplish, because you have to build the sensor into the heater.  

EDIT

I want to point you to the comment of @Gerben. Checking the light of the pilot flame or the flame might also be interesting. 

Having thought about this a bit,  I still find that measuring the air with gas sensors and starting a acoustic signal is the best way of doing it. If you want to close a valve in case you detect gas, the Arduino can start a siren and control the valve. 

Attention: Again, working with gas installations is nothing a beginner should do. You want to save life ...