According to Wikipedia, balloons:
can be made from materials such as rubber, latex, polychloroprene, or a nylonfabric, while some early balloons were sometimes made of dried animal bladders.
And according to Balloon HQ presents: How Balloons Are Made -
Balloons are manufactured from a liquid rubber called latex. The balloon gets its color from the pigment that is added to the latex. Pigments are both organic and inorganic compounds that absorb certain wavelengths of visible light and reflect others. The strength of balloons can be affected by the pigment if the pigment particle is large in size and interferes with the film continuity and if the pigment reacts with any of the other ingredients in the balloon.