Carbon monoxide is a product of natural gas combustion. If it was CO, it would have been an exhaust-side leak. Natural gas accumulation can also lead to unconsciousness and death, but the smell is a give-away. Seems that if they had an automatic heater that a supply-side leak would have 1) been detectable by odor, and 2) led to an explosion due to the appliances pilot light.
What if the pilot light went out and they were asleep?
This sort of thing has happened before. From a quick google search
In May 2019, four members of the Reitter family died from carbon monoxide poisoning in their home in Genoa Township, Ohio. The victims were Richard Gabriel Reitter III, 50, his wife Jennifer, 49, and their children Richard Gabriel Reitter IV, 15, and Grace Reitter, 13. Three dogs also died