Addressing the optical properties of a single nanoparticle in the infrared is particularly challenging, thus alternative methods for characterizing the conductance spectrum of nanoparticles in this spectral range need to be developed. Here we describe an efficient method of fabricating single nanoparticle tunnel junctions on a chip circuit. We apply this method to narrow band gap nanoparticles of HgSe, which band structure combines the inverted character of the bulk semimetal with quantum confinement and self-doping. Upon tuning the gate bias, measurement reveals the presence of two energy gaps in the spectrum. The wider gap results from the interband gap, while the narrower gap results from intraband transitions. The observation of the latter near zero gate voltage confirms the doped character of the nanoparticle at the single particle level, which is in full agreement with the ensemble optical and transport measurements. Finally we probe the phototransport within a single quantum dot and demonstrate a large photogain mechanism resulting from photogating.