Physically, these devices resemble vacuum tubes, but there are two main differences: Electrically, these devices resemble Zener diodes, with the following major differences: When sufficient voltage is applied across the electrodes, the gas ionizes, forming a glow discharge around the cathode electrode.
The VR tube's regulation voltage was only guaranteed when conducting an amount of current within the allowable range.
[1] The Corona VR tube is a high-voltage version that is filled with hydrogen at close to atmospheric pressure, and is designed for voltages ranging from 400 V to 30 kV at tens of microamperes.
Because the glow discharge is a "statistical" process, a certain amount of electrical noise is introduced into the regulated voltage as the level of ionization varies.
Too large a capacitance (>0.1 μF for an 0D3, for instance), however, and the circuit will form a relaxation oscillator, definitely ruining the voltage regulation and possibly causing the tube to fail catastrophically.
Though they lack a heater, VR tubes often do become warm during operation due to the current and voltage drop through them.