What is a group of stars, gas, and dust held together by gravity called?
Because this grouping includes stars, it would be called a galaxy.
Compare this to a nebula, which also incorporates gas and dust held together by gravity.
Aside from the galaxy components listed above, there would also be massive dark matter included in the galaxy.
There is more information on galaxies here:
A nebula is a smaller version of a galaxy, and it does not include multiple stars nor dark matter. They can be places where stars are born, or where a star dies. More information is here: