Gases make up the air we breathe. The main gases on Earth include:
78% nitrogen
21% oxygen
1% other gases (Argon, Neon, Helium, Krypton, Carbon dioxide etc.)
All the gases are atoms made up of protons, neutrons, and electrons which play a key role in the aurora. These particles have an attractive force that keeps them together.
Photo from "Northern Lights" by Souza