Zonabi,
Still looks like a balloon.
In fact I'm looking at a potential new hobby because of this, I'm going to get a Balloon and then you can watch out for me since I'll be incognito as a UFO.
Actually heres something else about why a balloon would be good to fit in this UFO equation:
<IMG SRC="Http://chatsoba.sprawl-vr.com/images/turb.gif">
This small image shows a cross section of a crude wing and how the airflow that generates lift is created (I'm sure you can find better aerodynamical models than mine). However my attention is drawn to the Red Arrows going the other direction, lets say that represents a Jet stream. (Wind from behind).
Now what would occur if your Velocity in a plane matches that of the wind speed? Simply you would lose the lift from beneath your wings. (This is why turbulance tends to jolt you about in a plane, since your actually dropping through space since your no longer lifted by airspeed tension.)
Now lets say you want to smuggle stuff in something that can't be chased, you could spend millions on ultrafast high speed jets, or you can use balloons that generate a larger overall surface tension and in regards to helium or ammonia the volume of space containing that gas is lighter than the surrounding atmosphere. The balloons method of flight differs from the planes since it doesn't need to have the airspeed to generate lift, therefore a balloon can steadily ride a jet stream where an airplane cannot.
I'm basically saying the plane couldn't chase a balloon in a jet stream unless it could go "Way faster" (like a jet), This does rule out that the Mexican pilot's didn't attempt an intercept course, however their angle of interception might have taken into alignment with the wind. (Wind from behind)