So, let’s take a periodic table:

In this table, where transition metals, lanthanides and actinides were removed, are coloured in red those elements heavier than air (remember that its main component is nitrogen, followed by oxygen, both diatomic) and in a darker red those that are metals.
So, those that at first glance might be suitable are left in blank. Let’s discard some of them:
- Hydrogen: Besides it’s highly flammable, it leaks even faster than helium.
- Helium: The same as hydrogen, it’s hard to keep inside a balloon.
- Boron: Solid
a) BH3: Dimerises to B2H6. Almost same density as air (96% density of air, while helium is 14%).
b) BF3: Heavier than air. - Carbon: Solid
a) CH4 (Methane): Highly flammable. - Nitrogen:
a)N2: Practically the same density as air.
b) NH3 (Ammonia): Toxic. - Oxigen
a) O2: Slightly heavier than air.
b) H2O (water): Liquid and even solid at cruise height (what
a pity, it's the safest and cheapest of all). - Fluorine
a) F2: Heavier than air. Highly corrosive.
b) HFl: Corrosive. Should be lighter than air, but it makes H–F
bonds, so it’s heavier.
- Neon
a) Ne: Lighter than air. Not especially expensive (2800 €/m3 while Helium 2500€/m3)
So, the compounds that may be suitable (attending just at their density) are CH4 and NH4, both highly dangerous; they're flammable, corrosive, toxic, or all). I'll try to find out which are the consequences of those properties in materials and how overcome them.
Neon seems to be the most feasible option, but I'm not yet sure if the size of that atom is big enough to avoid leaks.












