I guess it's possible to build it indoors but I don't think we'd be happy with it vs. an outdoor pool.
We have natural gas, but would need to upgrade at least our gas meter, hopefully not the feed pipe from the gas company.
Current plan is to integrate the pool with our deck which will be close to our garage and house, so the pool equipment could be put either in the garage (which is heated) or our basement. Space-wise, the basement would be better but then I'd have to deal with the possibility of 7500 gallons of water in my basement when something breaks. Maybe automatic shutoff valves would work for that though.
I've been doing some research on insulating concrete pools. This looks interesting:
http://www.icfmag.com/articles/features/2013-07_ICF_Swimming_Pools.html