it's hard to see how anything could be burning within them. Now, maybe when we saw, say, the Penguin's umbrella spew colored smoke, there was a hidden tube running to a smoke machine off-camera. But I'm not sure that's so. So I'm wondering if there might be some other way of producing something that looks like colored smoke, maybe something that's stored in a compressed-gas cartridge like the CO2 cylinders used in model rockets.
They used the former effects to make the characters on-camera appear to be doing the latter.