It used to be with the price of gas it was cheaper to heat with it. Also a lot of older homes in Pittsburgh were built before forced air heating was a thing, so they use a gas boiler + radiator system (which was probably converted from coal to gas back in the day).

I haven't done the math on if gas vs electric is cheaper recently, but both gas an electric recently went up by like 50% because reasons.

An electric heater is pretty much 100% efficient, that's just thermodynamics. The real thing to consider is cost. And it's not inexpensive to switch from say electric to gas, or vice versa, so you're generally stuck with what you have.