Things you believed as a kid

[Amaterasu]

Hold on, are you telling me it's not just a balloon?

Not the military-grade ones, at least. The civil ones that are smaller are different, I think, but in regards to the military blimps, if I understand correctly the balloon (which is covered with metal plates, also) has a metal structure inside which you can even walk on, and there are several tanks with helium gas attached to that structure which keep the blimp buoyant. To make it ascend or descend they have air tanks which are filled or emptied to make the balloon heavier or lighter, that's the same across most blimp models though.
So even if the metal plating gets pierced the blimp wouldn't go flying like a kid balloon that you let go of, but a couple of the metal tanks get hit and the blimp loses some of its buoyancy, not all of it. I'm no expert though.