Even if your local power is 100% fossil fuels, there is a significant per-mile benefit to utility scale efficiency. Natural gas power plants are about double the efficiency of a very good internal combustion engine.
That doesn't make any sense to me as the car can just run on natural gas itself without having to disperse so much in the conversions leading to charge a battery:
ICE engines mostly generate waste heat, even when natural gas is the fuel.
Generating the power across town with the same fuel (in a turbine instead of ICE), transmitting it, converting it to DC to charge a battery, converting that back to AC and spinning an electric motor is more efficient. Yes there are more steps, but none of them are anywhere near as awful as ICE efficiency.
A combined cycle gas turbine is about 60% efficient, and you lose about 20% in transmission, converting to DC, charging, and converting to AC to run the motor.
A natural gas combustion engine is 40% efficient and loses 5-15% of that in the transmission.