Question

What is a group of stars, gas, and dust held together by gravity called?

Answer 1

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.

Explanation:

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:
https://science.nasa.gov/astrophysics/focus-areas/what-are-galaxies

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:
https://www.universetoday.com/61103/what-is-a-nebula/