I actually talked with someone a few years ago and was surprised to find out he thought the moon didn't have any gravity because it didn't have air. This wasn't religious or anything, just ignorance on his part. I quickly corrected him and said that gravity doesn't come from air, and that if anything the presense of air (or more to the point, an atmosphere) is because of gravity. I was still pretty surprised to find out that someone in this day and age could have such a shocking lack of knowledge about such a very basic idea as gravity. I had learned in grade school that gravity was generated by ANYTHING with mass (though of course this was all newtonian teaching in school, they really never bothered with relativity). I really do not know how anyone could actually come to that conclusion, but at the time I thought it was an individual misunderstanding. I had no idea it was actually one that others had.
I will say this. I can tell the difference between being blown on and gravity. If gravity was just a high pressure wave, my hair would be blowing around, my clothes would be whipped about, and I would feel the pressure of the air pushing down on me, not to mention hear it. Any wind tunnel test should show the amount of wind it takes to actually push someone down with the same force as what we call gravity.
Did these people even take a few minutes to think about this, at all?