Ummm… no, that’s not how it works. When natural gas is burned in normal atmosphere, the carbon from the methane (CH4) combines with oxygen from the atmosphere to generate CO2. The air is 21% oxygen. Burning natural gas in pure oxygen doesn’t change the amount of CO2 produced at all, it just increases the efficiency of generation at the expense of getting a pure oxygen stream.

Capturing CO2 from natural gas or coal generation is a known and incredibly well-studied process with three or four proven technologies, all of which are expensive to operate and make either gas or coal generation completely uneconomic.