Hmmm... There is a grip behind the CNG device where the lights show, check if that is faulty.
Sometimes the air filter clamp gets loose, and it chokes the car on CNG.
And check the fuse of the CNG device, sometimes the electric wires Earth and the fuse gets blown.
I have experienced all of the above, when driving from a complete stop on CNG in 2nd gear, i heard a thud sound from the engine- the air filter box opened:)
Hope your issue gets resolved:P