Is it correct to say that the (-) neg terminal of the 9V battery and all GNDs of circuit get tied together to a GND pin on the Ardunio board? If so, then the 9V battery is not enough voltage to output 5V thru the voltage regulator. Why does the voltage decrease across the voltage regulator when I attached the sensor's and resistor's GND to (-) neg terminal of the 9V battery?
Yes, all those ground connections must to made.
Perhaps your gas sensor's current draw requirement is more then a small 9vdc battery can supply. Such a battery type is a very poor choice for most useful arduino projects. If you attempt to draw too much current from such a battery it's terminal voltage will decrease from it's nominal value perhaps below the minimum drop out voltage input voltage rating for the 5vdc voltage regulator. Do you have a link to a datasheet for the gas sensor from the original manufacturer?