Is there a way to check for an underground gas leak without digging up yard?

Yes Residential service gas lines are usually buried no more than a few feet deep and are either metal or plastic with a wire run along side so that they can be easily located with the right type of metal detector. If you smell gas or suspect a leak, call the gas company. They have probes that can locate a leak by sampling or by listening ultrasonically. This is not a D.I.Y. project. That last thing you want to do (or might ever do) is to locate a leak by hitting a rock with a shovel and creating a spark.