The electrode is the bit of metal that "connects" the circuit to the gas, if you like; electrons will find their way onto an Anode or off a Cathode- constituting a current. But a gas won't conduct a current on its own. You have to provide some separated charges for that to happen. These can come from a heated cathode or by ionising the gas. To ionise the gas, you need to cause one or two random electrons (of which there will, statistically, always be a few, under any conditions) to get fast enough to ionise further atoms and produce an avalanche effect. This can only happen if there is enough space between atoms for the electrons to gather sufficient speed between collisions. If the gas is too dense, the electrons will not have accelerated enough to cause ionisation - hence the need for a low pressure (i.e. plenty of space between atoms) for a 'spark' to occur. Otherwise, any possible spark will be quenched before it forms.