Bubbles aren't just full of still air. The gas inside moves at high speed in a circular fashion. This rotational energy is what helps maintain the bubble's surface tension. When that energy dissipates, the tension drops and the bubble pops. (For a certain set of nerds, think about Naruto's Rasengan training.)

For this video, the vapour is dense that regular air and serves more for visualization. A third has capable of igniting is likely being added after the vapour to the main bubble. It may be hard to spot right away, but the "bubble wand" has two rings. The smaller, inner ring creates the hole for the gas to escape while the larger, outer ring maintains the bubble's integrity. (Think soap bubbles in a kitchen sink or a bathtub.)

So as seen in the video, the gas wants to escape through the opening and will do so while maintaining the rotational inertia. Set the escaping gas alight and fire tornado happens.