The direct change of a substance from a solid to a gas is called

Sublimation

Explanation:

Sublimation is usually defined as a special type of process by which a substance can change its state directly from the solid-state to the gaseous state. This process takes place under such a condition where the substance occupies or absorbs the energy at a much faster rate that it does not get enough time for melting to take place. For example, the dry ice which undergoes the process of sublimation, changing its state from the solid to the gaseous state.