Most probable cause soon after installing CNG is the O2 sensor. Your car utilizes closed loop control for most efficient burning of fuel. The O2 sensor measures the oxygen content in the exhaust ; i.e. rich or lean fuel. the sensor reports in the form of voltage signal which continuously varies for a normal operating engine from .2 to .8 volts. high voltage indicates rich mixture and low voltage lean mixture. accordingly the ECU continuously varies the injector timings to adjust the fuel. However, when u drive on CNG the exhaust composition is not the same; therefore the O2 sensor reports out of limit errors.
Using the O2 sensor emulator (available for 2800 Rs PVR make) can be used to come into action whenever u transfer to CNG. This way the computer is sent a good signal and it is fooled to believe that all is well. Remember, on CNG ur injectors are cut out by the emulator and it sends signal to the ECU that the injectors are working ok---same approach for O2 sensor.
Remember to tell the CNG mechanic that out of 4 wires on the O2 sensor -- 2xblack (for heater), white (ground) blue is the one for ECU signal Input.
Good Luck and do not worry. ur car is just saying that the emission control is not working OK. but the consumption could still be high as the computer is running open loop control. Let me know what is ur CNG mileage.........