Yanar Dagh (burning mountain) Yanar Dagh (burning mountain) is a natural gas fire which blazes continuously on a hillside on the Absheron Peninsula on the Caspian Sea near Baku, the capital of Azerbaijan. Yanar Dag is believed to have been formed as a result of geological changes that occurred in the region thousands of years ago. The hillside is rich in natural gas deposits, and a fault in the earth's crust allows the gas to escape and burn continuously