"That is my phone number."
You can say 那是 is a more natural way to say it rather than 那个是; Yet I don't see why 那个是 would not make sense contextually. If someone has 2 pieces of post-it on the fridge, one having his phone number written on it, it is still possible that he would use this sentence. It does not sound weird to me.
"ge" is called a "classifier". These classifiers are used in written but can sometimes be omitted in spoken chinese. Although the concept is difficult to understand, you can understand them as "measurement units". For example, the classifier for books is "ben", which can be translated as "volume": "一本书": one tome/volume (book). For more information you can check wikipedia: https://en.wikipedia.org/wiki/Chinese_classifier
Ok, "That is my phone number."... correct is "Na" (far) and not "zhe" (close) because I'm more likely to point to it on a billboard sign than to hand it on a piece of paper when offering the sentence to someone? That does not make sense to me. Why isn't "Zhe shi wo de dian hua" better than "Na ge shi wo de dian hua"?
So, my understanding is that if you say 那个是我的电话号码，this means "THAT is my phone number," but 哪个是我的电话号码？means "WHICH one is my phone number ?" But don't both of these sound the same when spoken ?? If so, then would it not be clearer to say 那是我的电话号码 to indicate that you mean to say "THAT is my phone number" ?