This idea would include a new type of lego piece and would lead to many new sets possible. The concept is to create a lego piece that has a nozzle on it the appropriate size to attach an inflated balloon. It would need a lip to keep the balloon in place. You could then use either rubber tubes with connectors or a series of pieces with holes to redirect the airflow to power windmills, wheels, and many other moving parts. The simplest set would just be a simple balloon-powered car, rocket style. More complex sets could include zipline vehicles that travel on a string, windmills that use a wheel to capture the balloon energy and power other moving parts, and all kinds of other possibilities!
My apologies if someone else thought of this already unbeknownst to me... I was just playing with balloons today and thought of it, and didn't do an extensive search to see if it had been done.