the balloons used by the USN were filled with helium, which is not highly explosive.
Many people think that if a balloon is shot with a gun it will explode violently with only a few hits... the reason most people think this is because of the Hindenburg accident.
The Hindenburg was filled with hydrogen which is HIGHLY combustible.
The only way to bring down a blimp in SH3, is to fill it with holes so all the helium leaks out.
problem is you have to fill it with lots of holes.
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