In J. J. Thomson's cathode ray experiment, he used a discharge tube in order to make the gas inside conduct electricity.
Why do gases under low pressure conduct electricity?
The cathode ray tube doesn't conduct electricity per se. It liberates free electrons that are simply moving through a vacuum from one end to the other. In practice, you can't create a real vacuum, so a low pressure gas (as low as possible) is used instead.
Air has a high enough dielectric strength that it will dampen the effect of the applied voltage. That is, it'll be harder to liberate free electrons to shoot down the tube.