The casing-cement sheath interface in gas storage wellbores, crucial for operational safety and energy stability, endures complex loads from formation pressure and gas injection/extraction processes. Over time, the casing-cement sheath interface may experience fractures or failures due to external load variations, temperature fluctuations, and material aging, thereby affecting the sealing and structural stability of the gas storage. Firstly, A new type of cement has been developed for the operating conditions of gas storage facilities, and the tensile and compressive tests were conducted for the mechanical properties of cement. Based on peridynamics(PD) theory, this study establishes a thermo-mechanical coupled PD model to investigate the fracture and failure mechanisms of the casing-cement sheath in gas storage under thermo-mechanical loads. The effects of different external loads, temperature changes, and cement material properties on the interface failure are analyzed. The results indicate that the thermo-mechanical coupled PD model can effectively reveal the failure process of the bonding interface under dynamic effects such as temperature and formation pressure changes, particularly demonstrating unique advantages in crack initiation and propagation. Through an in-depth analysis of the failure mechanisms of the casing-cement sheath interface, this study provides a theoretical basis for the design, operation, and safety assessment of gas storage, offering significant application value in optimizing cement sheath design, enhancing interface strength, and enabling real-time monitoring and early warning.