If there was a gas heater there at some point wouldn't there also be a concrete slab or some kind of pad? Maybe the previous owner had the connection installed but never had a heater put in. A good thing actually, as the cost to run a gas line can be pretty expensive if done by a licensed plumber. I just bought a house with a pool in January and have an almost identical scenario where there is a gas line next to the pool filter but no heater. There is a concrete pad, though. Actually, it's a pad made up of a group of 12" X 12" concrete pavers. I've been debating the heater question myself but may wait 'til next season. The idea of adding another $400 - $500 bucks to my monthly nut makes me shiver.
And, BTW. Is that your pump ground wire wrapped around the neck of that gas fitting?