Definitely. Helium is gonna be pretty freaking boring, unless you're just trying to pop the balloon. If you want fire and/or explosions, you need oxygen, and even if you have something self-oxidizing like solid rocket fuel, having helium in the vicinity is not going to help.
You want hydrogen, and I would recommend having some oxygen mixed in. If you have enough balloons, try several different mixtures. If you have a perfect stoichiometric mixture (and I would recommend talking with
@Cap'n Jack about how to fill a balloon to that mixture), you'll get the most "Boom". The richer the mixture (more hydrogen, less oxygen), the bigger/longer the fireball and the less boom. 100% hydrogen will give you a several-second fireball but the only boom you'll get will be the balloon popping.
I would suggest adding some flammable solids like magnesium for greater effect, but definitely talk to the chemists here about how to add those materials as safely as possible. Y'know, like, put the oxygen in last. IIRC it comes in a liquid to keep it from oxidizing, and that liquid is some kind of oil, which also might not take too kindly to adding pure oxygen... But yeah, talk to the chemists first. And wear protective equipment and be sure your next of kin know how to recover and edit the video.
There was a guy who did that at Oshkosh several years ago... And yes, he had to apply for an Experimental airworthiness certificate, be licensed for Lighter-Than-Air - Gas Balloon, and yes, have an N number affixed to his lawn chair.
I was thinking that a pin in the nose cone would be a good addition to the rocket.
The heat isn't going to be there until the rocket engine gets there. If you're filling a balloon, yes the pressure will rise inside compared to atmospheric, but presumably
@SixPapaCharlie is going to be getting these gases from tanks where they will be under much higher pressure than they will be in the balloon. Because of the huge pressure drop from being inside the tank to being in the balloon, the contents of the balloon are going to be quite cool to start with.