Hydrogen sulfide would work. Then there's always photosynthesis with CO2.
Of course there are other possibilities, but I'm talking efficiency and the likelihood of advanced multicellular organisms (think an alien analogue of humanity - capable of advanced thought, perhaps use of tools, complex verbal and written language, possibly weapons, etc). Most of those routes work great for life that developed that way, but it would require tremendous energy input to scale up to larger, more advanced creatures.
And whatever gas it is, it needs to be replenished. Either natural reactions produce it, or, like us, other lifeforms help produce the gas we depend upon to breathe.
Hydrogen sulfide would most likely not be the gas used for energy generation. That sounds terrible for just about any imaginable biology. But, it could be the byproduct of their respiration/energy production (like O2-CO2 in humans). Some other sulfurous molecule would most likely be the gas used.
But what about oxygen as a poison then? I know some single-celled creatures die in the presence of free oxygen, not sure about the sulfurous types.
Would it be fare to say it's not likely such a place would both be habitable AND conducive to the controlled generation of fire/combustion for such types of creatures? How "advanced" are we willing to label aliens that are without metallurgy?
I guess, if they don't breathe oxygen, it at least cannot be a lethal gas for them either. Which, due to certain biological requirements, would likely limit which gasses a creature would even be able to use for respiration. If they require a different gas, certain aspects of their biology will be remarkably different, and for some of those differences, oxygen becomes a highly reactive and lethal substance. Without an ability to survive in an oxidized world, I don't think controlled combustion is even possible.
Granted, metallurgy isn't necessarily required for them to have strong reasoning skills, and they could come up with a creative solution to create fire in a controlled and sealed environment... but it also could limit them to simply crafting simpler things with their hands/mouths/whatever and not really advancing that much beyond the state of our primate brethren.