When we had a hot tub and were sitting outside in the winter, we would periodically smell that additive (you're not smelling the natural gas, you're smelling the chemical additive that the utility company puts in it to make it detectable for the human nose), and we realized it was our own gas furnace kicking in: the exhaust (high efficiency) was to the side of the house perpendicular to the hot tub, and the west wind would bring it around for us to enjoy. We had it checked out, and learned there was nothing to worry about, if this is the kind of exhaust you have (side vent, not up through the old chimney).