Why is there no gas-gas colloid?

Answer: the dispersed phase (call it gas #1) is already at the molecular level and disperses evenly throughout the dispersing medium (call it gas #2). It is completely homogeneous at the molecular level. It is a solution.

An example of this is the atmosphere. Using only the two major gases, we can consider the atmosphere to be oxygen dissolved into nitrogen.

Another point: there are two colloid types called foam, where a gas is the dispersed phase. Since gases exist at the molecular level, why are not these two called solutions?

Answer: consider what the gases do. They form bubbles within the dispersing medium. The bubbles are not of uniform size and they are not distributed evenly over the entire sample. It is the bubbles of gas that is considered, not the fact that each bubble contains lots of gas molecules.