Nano quadcopters are ideal for gas source localization (GSL) as they are cheap, safe and agile. However, previous algorithms are unsuitable for nano quadcopters, as they rely on heavy sensors, require too large computational resources, or only solve simple scenarios without obstacles. In this work, we propose a novel bug algorithm named `Sniffy Bug', that allows a swarm of gas-seeking nano quadcopters to localize a gas source in an unknown, cluttered and GPS-denied environment. Sniffy Bug is capable of efficient GSL with extremely little sensory input and computational resources, operating within the strict resource constraints of a nano quadcopter. The algorithm foresees in the avoidance of obstacles and other swarm members, while pursuing desired waypoints. The waypoints are set for exploration, and, when a single swarm member has sensed the gas, by a particle swarm optimization-based procedure. We evolve all the parameters of the bug (and PSO) algorithm, with a novel automated end-to-end simulation and benchmark platform, AutoGDM. This platform enables fully automated end-to-end environment generation and gas dispersion modelling (GDM), not only allowing for learning in simulation but also providing the first GSL benchmark. We show that evolved Sniffy Bug outperforms manually selected parameters in challenging, cluttered environments in the real world. To this end, we show that a lightweight and mapless bug algorithm can be evolved to complete a complex task, and enable the first fully autonomous swarm of collaborative gas-seeking nano quadcopters.