UN – http://data.un.org/Explorer.aspx?d=EDATA – Natural Gas Consumption by state, //sector// and year.

Jodi – http://www.jodidb.org/ReportFolders/reportFolders.aspx – Natural Gas Monthly Consumption by country, in electricity and non-electricity

EIA – https://www.eia.gov/naturalgas/monthly/ – Natural Gas Monthly report for estimates of historical demand in United States, by sector and month.