It's true; they are.
An upside of the ping pong ball's magical construction (a quick check from #e says that they are not filled with gas - the leading theory is that they just have very good plastic), aside, of course, from delightful bounciness, is very high flammability. These suckers, if heated with a normal lighter, burst into a very impressive display of pyrotechnics.
Note: do not attempt to verify this while drunk. Personal injury may occur. And if you are drunk, try not to be the guy holding the ball.