Which gas allows things to burn

When things burn they are consuming oxygen from the air. More accurately it is called di-oxygen because it is a molecule of 2 oxygen atoms bonded together. O₂

Actually, the answer is much morer "coloured". Oxygen is only one of a couple gasses that allow things to burn - or oxidizes things. Fluorine and chlorine are the two other candidates.
Other gases could be non-elements like nitrous oxide (N2O) and nitrogen dioxide (NO2). Ozone is also a very powerful oxidizing gas.

Correct, but I don't think that for this level of chemistry, a teacher would ask the children for the other types of gases required for burning.