In short: Air.
All sound is a vibration that propagates as an acoustic wave, through a transmission medium such as a gas, liquid or solid.
When someone talks, they move air that your ear feels as sound.
A balloon is pressurized air. When you pop it that pressure propagates outward in a wave, that your feels as sound.
Think of it as dumping a bucket of water in a lake and watching the waves spread outward.
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