Mostly I don’t mind the WordPress Gutenberg editor, but this was a real pain in the ass.
First, you need a new “block.” It needs to be a regular paragraph block, NOT a code block. Code blocks are for writing code.
Then you need to turn on “Add Custom HTML” for that block.
Then you take the embed code from your gist (see image below), including the script tags, and paste it. There is no WordPress embed option for gists. Do not waste your time Googling for how to embed a gist, as I did.
Now you’ll have a proper gist embed in your WordPress post.
Clarification: It’s not a pain in the ass once you know this is the way to do it. It’s a pain in the ass to figure it out because (a) it doesn’t work like other WordPress embeds in Gutenberg, and (b) there are a bunch of incorrect post about how to do it, including one at WordPress Support.