A heat pump is going to use less energy. It is moving heat, not creating it, however it is going to be slower than a heater
A heater is going to use more energy, because it is using that energy to create heat, not to move it, but it is going to be able to create a lot of heat quickly
A heat pump is going to be electric, and a gas heater is gas. Gas is usually cheaper than electric, energy for energy. (1KwH is 3412 BTU)
If you really want to get into it, you can see which one is cheaper to run. IT also depends on how hot you want your pool, how well insulated it is, how long you plan on keeping it open, how much sun you get I can keep my ABG in New Jersey comfortable into mid-September with just a solar cover, but i get a lot of sun. Once good cold rain will drop the temp and end the season though.
You should also consider your current utility situation -will you need to upgrade your gas service - are you already running a lot of high demand appliances. Same goes for your electric service. How much capacity is available in your existing service. Will a heat pump require you to upgrade your electric service. Also, is solar something you may want to do? With solar panels you could run that heat pump all day long for free.