This isn't a supported feature at the moment, but our validation could be better:
import pennylane as qml
wires = range(5)
coeffs = [1 for _ in wires]
observables = [qml.Z(i) for i in wires]
H = qml.Hamiltonian(coeffs, observables)
Hmat = H.sparse_matrix()
>>> qml.pauli_decompose(Hmat)
ImportError: autoray couldn't find function 'gather' for backend 'scipy'.