When you inflate a balloon and then let it go again, it will fly through the air in an unpredictable motion. My kids (1 and 3 year old) love watching this. At some point my oldest asked how it worked and why it was flying and I felt that I could answer that. (Conservation of momentum basically, only in more words.) However, then he asked why the balloon was traveling in circles (which it was, at least most of the times we released it) and I really have no idea. I hope someone here can help me.
My guess is that the exhaust is not perfectly in line with the balloon's centre of mass. In other words, the exhaust is slightly off-centre. That will cause the thrust of the escaping gas to push the nozzle slightly to the side, causing the balloon to rotate sightly as it travels forward. If this deflection stays constant you will get a perfect circle. If the line of thrust, and hence the deflection, changes during the motion, the path will be curved but no longer circular.