Interesting. My bad to say it uses LNG (liquefied natural gas). The article says liquefied petroleum gas (also known as propane). LNG can come from other sources like coal deposits, but liquefied petroleum gas obviously comes from petroleum. If they use CNG for cars in Thailand, it is possible that it could come from coal deposits as CNG is basically far less compressed than LNG or LPG (CNG is only compressed, they are compressed even more to become liquid).
"Natural gas can be "associated" (found in oil fields), or "non-associated" (isolated in natural gas fields), and is also found in coal beds (as coalbed methane). . . .
Natural gas extracted from oil wells is called casinghead gas or associated gas. The natural gas industry is extracting an increasing quantity of gas from challenging resource types: sour gas, tight gas, shale gas, and coalbed methane." --- Wikipedia.
So while this steam car was using liquefied petroleum gas, what you are talking about (CNG) could possibly come from other sources. The likelihood is that it does come from a petroleum-linked source though. If price rises it will encourage development of more obscure sources of natural gas.
PS. What is the relative cost of CNG at the service station compared to normal fuel?