There's not even a physics reason why a heat pump needs to be electric. There are gas-fired heat pumps. There are even gas-fired refrigerators. These weird anti heat-pump memes are just being regurgitated by people who do not understand what they are talking about.
A modern gas turbine is around 50% efficient, give or take 10%. A modern heat pump has a COP of around 4, so burning gas to make electricity to run a heat pump is more efficient than burning gas to make heat.
I'm intentionally being reductive, but I have worked on several furnaces and gas furnaces are an order of magnitude simpler than their respective heat pump.
... gas furnace + A/C compressor is another story.
I live in Texas. At least for electricity it’s a fairly free market of prices. I would be surprised to learn natty gas is being heavily subsidized here too.