Five Guatemalan migrants were injured in the blast, two of them seriously.
They told officials that they had been abducted a week ago.
Central American migrants trying to reach the US are frequently targeted by Mexican criminal gangs which force them to join their ranks.
Others are killed if their families cannot pay the ransom demanded by the gangs in exchange for letting them go.
Neighbours reported seeing as many as 60 migrants fleeing the house in Reynosa following the gas blast. Police are searching for them.
Reynosa, which is just across the border from the Texan city of McAllen, is a popular crossing point for migrants trying to reach the US.
Tamaulipas state, where Reynosa is located, is being fought over by two powerful crime gangs, the Zetas and the Gulf cartel.
The cartels smuggle vast quantities of drugs across the border as well as extorting local businesses.
In 2010, the bodies of 72 migrants were found at a ranch in San Fernando, in Tamaulipas.
Authorities said they had been killed by the Zetas cartel after the migrants refused to work for the gang.
A year later, the bodies of almost 200 migrants were found in the same area.
Many of them had been abducted while travelling by bus to Reynosa. Officials said the Zetas cartel was also behind those killings.
Dozens of migrants in the northern Mexican city of Reynosa managed to escape when a gas explosion ripped through the house where a gang was holding them captive.