Your dad has a point and he might be referring to a collection of nastiness as "coal gas" ... burning coal is pretty dirty. When coal is burned, oxides of mercury, arsenic, sulfur, magnesium and a few others (cadmium, chromium, lead?) are released into the air. A few Federal Superfund sites were created from improper disposal of ash from coal-fired power plants.
This in no way implies that burning coal to heat your house is going to create a Superfund site

but you have to look at the list of pollutants and decide if it's worth it.