Here are some thoughts : At a glance, the second last inequality contains the MGF for the chi-squared distribution, and just looking at the integrals, the change of coordinates for the normal distribution may be involved somewhere in there. Consider also that the chi-square distribution with n - 1 degrees of freedom is the limit distribution of a sum of n Z^2 random variables, where Z is the standard normal.
I also recall seeing the gamma function in the proof of the symmetry of geometric brownian motion about the x axis, so that may be distantly related.