So in your proposal, the balloons themselves provide only tensile strength. The resistance to compression comes from the pressure of the air inside the chambers. Let $R$ be the inside radius of the balloon shell, and let $a$ be the thickness of the shell. (So the outside radius is $R+a$.)
Now consider what happens when the radius shrinks to $R-dR$. The outside radius shrinks to $R+a-dR$, meaning that the device now displaces $4\pi(R+a)^2dR$ less air. This is energetically favourable, leading to a reduction of energy of $4\pi(R+a)^2dR \cdot 1$atm. On the other hand, the air inside the chambers now occupies $4\pi((R+a)^2-R^2)dR$ less volume, which is energetically unfavourable. If $P$ is the pressure inside the chambers, then the energy increases by $4\pi((R+a)^2-R^2)dR \cdot P$. Thus, the overall change in energy is:
$$
\Delta E = 4\pi dR \left( P((R+a)^2-R^2) - 1\text{atm}(R+a)^2 \right)
$$
If $\Delta E < 0$, the device will be crushed down to a smaller size by atmospheric pressure. Thus, in order to have the device be stable, the following inequality must be satisfied.
$$
\Delta E = 4\pi dR \left( P((R+a)^2-R^2) - 1\text{atm}(R+a)^2 \right) \geq 0
$$
Therefore:
$$
P \geq 1\text{atm} \frac{(R+a)^2}{(R+a)^2-R^2}
$$
Now let's compute the mass of this thing. Suppose that the density of air at atmospheric pressure is $\rho$. The total mass of air displaced by your balloon will be:
$$
\frac{4\pi}{3}\rho(R+a)^3
$$
On the other hand, the mass of the balloon, ignoring the mass of the balloon fabric, will be:
$$
\rho \frac{P}{1\text{atm}} \frac{4\pi}{3} ((R+a)^3-R^3)
$$
(Since density is proportional to pressure.) This is equal to:
$$
\frac{4\pi}{3} \rho ((R+a)^3-R^3) \frac{(R+a)^2}{(R+a)^2-R^2}
$$
$$
=\frac{4\pi}{3} \rho (R+a)^3 \frac{(R+a)^3-R^3}{(R+a)^3} \frac{(R+a)^2}{(R+a)^2-R^2}
$$
$$
=\frac{4\pi}{3} \rho (R+a)^3 \frac{(R+a)^3-R^3}{(R+a)^3-R^2(R+a)}
$$
Since $R$ and $a$ are both positive, we have:
$$
\frac{(R+a)^3-R^3}{(R+a)^3-R^2(R+a)} > 1
$$
Thus, the balloon must be more massive than the air that it displaces. Preventing atmospheric pressure from simply crushing the balloon requires a very high $P$, which means that the air in the shell has a high density. This high density adds enough mass to prevent the balloon from feeling any lift.
If you use helium instead of ordinary air, then you can use a smaller value for $\rho$ in the equation for the mass of the balloon, so you might get lift. However it is clear from the equations that you are best off making $R=0$. i.e. creating an ordinary helium balloon with no vacuum inside.