Imagine two balloons. One balloon is filled with air and tied. The other balloon is filled with tap water and tied. If you placed both balloons the same distance over a lit candle, what would happen? Would they both burst? Would only one burst?

If you think about the heat capacities of both air and water, water has a higher hear capacity. This means that water will heat up and cool down slower than air. As the balloons are placed over the candles, heat from the candle is quickly absorbed by the water and the temperature does not raise high enough to burst the balloon. The balloon filled with air will quickly swell and pop!