We study a model describing immiscible, compressible two-phase flow, such as water-gas, through heterogeneous porous media taking into account capillary and gravity effects. We will consider a domain made up of several zones with different characteristics: porosity, absolute permeability, relative permeabilities and capillary pressure curves. This process can be formulated as a coupled system of partial differential equations which includes a nonlinear parabolic pressure equation and a nonlinear degenerate diffusion-convection saturation equation. Moreover the transmission conditions are nonlinear and the saturation is discontinuous at interfaces separating different media. There are two kinds of degeneracy in the studied system: the first one is the degeneracy of the capillary diffusion term in the saturation equation, and the second one appears in the evolution term of the pressure equation. Under some realistic assumptions on the data, we show the existence of weak solutions with the help of an appropriate regularization and a time discretization. We use suitable test functions to obtain a priori estimates. We prove a new compactness result in order to pass to the limit in nonlinear terms. This passage to the limit is nontrivial due to the degeneracy of the system.