Pluto has a small atmosphere...
We currently believe that it is so cold on Pluto during much of it's year that the atmosphere precipitates onto the planet periodically in the form of snow.
Then as the orbit brings it closer to the sun, the atmosphere reforms as the snow melts.
Move Pluto in closer to the sun and it would form a bigger atmosphere. Move it way closer to the sun and it would likely become a comet: With the atmosphere trailing off into space.