  [Abridged] Aims. We searched for circumplanetary sodium and ionized calcium
gas around the disintegrating rocky exoplanet K2-22 b to constrain its gas-loss
and sublimation processes.
  Methods. We observed four transits of K2-22 b with X-shooter on ESO's Very
Large Telescope to obtain time-series of intermediate-resolution (R $\sim$
11400) spectra. Our analysis focused on the two sodium D lines (588.995 nm and
589.592 nm) and the Ca$^{+}$ triplet (849.802 nm, 854.209 nm and 866.214 nm).
Planet-related absorption is searched for in the velocity rest frame of the
planet, which changes from $\pm$66 kms$^{-1}$ during the transit.
  Results. Since K2-22 b exhibits highly variable transit depths, we analyzed
the individual nights and their average. By injecting signals we reached
5$\sigma$ upper-limits on the individual nights that ranged from 11% - 13% and
1.7% - 2.0% for the tail's sodium and ionized calcium absorption, respectively.
Night 1 was contaminated by its companion star so we considered weighted
averages with and without Night 1 and quote conservative 5$\sigma$ limits
without Night 1 of 9% and 1.4%, respectively. Assuming their mass fractions to
be similar to those in the Earth's crust, these limits correspond to scenarios
in which 0.04% and 35% of the transiting dust is sublimated and observed as
absorbing gas. However, this assumes the gas to be co-moving with the planet.
We show that for the high irradiation environment of K2-22 b, sodium and
ionized calcium could be quickly accelerated to 100s of km s$^{-1}$ due to
radiation pressure and entrainment by the stellar wind, making them much more
difficult to detect. No evidence for such possibly broad and blue-shifted
signals are seen in our data.
  Conclusions. Future observations aimed at observing circumplanetary gas
should take into account the possible broad and blue-shifted velocity field of
atomic and ionized species.
