Dry aerosol synthesis applying the flame spray pyrolysis was used to manufacture and directly (in situ) deposit tin dioxide nanoparticles on sensor substrates. For the first time this technique was used to synthesize a combination of two porous layers for gas-sensor fabrication. Two different sensing layers were deposited on ceramic substrates, i.e., pure tin dioxide and palladium-doped tin dioxide. The top layer was a palladium-doped alumina as a filter. The fabricated sensors were tested with methane, CO, and ethanol. In the case of CH4, the pure tin dioxide sensor with the Pd/Al2O3 filter showed higher sensor signals and improved selectivity with respect to water vapor compared to single tin dioxide films. At temperatures up to 250 °C the Pd doping of the tin dioxide strongly increased the sensitivity to all gases. At higher temperatures the sensor signal significantly decreased for the Pd/SnO2 sensor with a Pd/Al2O3 filter, indicating high catalytic activity.