yes.
Mercury lacks an atmosphere, and Mars hardly has any.
Any atmosphere by definition is made of gas.
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Not all planets have wind. Wind is caused by the movement of gases in an atmosphere, so planets without a significant atmosphere, like Mercury or the Moon, would not have wind. Additionally, the intensity and frequency of wind can vary greatly depending on factors such as atmospheric composition, temperature gradients, and surface features.
The atmosphere gets thicker and thicker as you go down; the planets basically consist mainly of atmosphere, though those planets are expected to have a solid core.
Space does not have an atmosphere. It is generally considered a vacuum. Planets and some moons have atmospheres.
the outer planets are gaseous and the inner planets are not
Some dwarf planets, like Pluto, have thin atmospheres composed mainly of nitrogen, methane, and carbon monoxide. However, the atmospheres of dwarf planets are not as substantial as those of larger planets like Earth or Jupiter.
If by gas you mean an atmosphere, there are no planets with an atmosphere anywhere similar to Earth.
It protects the inner planets from ultraviolet radiation
The four inner planets, also known as the terrestrial planets, are Mercury, Venus, Earth, and Mars. Among them, Mercury has almost no atmosphere due to its small size and proximity to the Sun, which causes any gases to escape easily. Mars has a thin atmosphere, primarily composed of carbon dioxide, but it is much less substantial than Earth's. Venus has a thick atmosphere, so it does not fit the criteria of having almost no atmosphere.
To get weather, you need an atmosphere. Mercury is the only planet without one.