Well, they don't change them to such a stupid idea as a balloon.
Initial reports are wrong, but not that wrong. They would not get wrong if there were victims or if it was a craft or balloon.
The stories about "flying discs" (nobody called them ufos back then) had only started appearing a week or two before Roswell. Nobody knew what they were, or if they were even anything. Some thought they might have been some kind of balloon. Nobody knew.
First it was unidentified, then it was identified.
I love Roswell stuff as much as the next person, but be assured, I'm sure the fantasies and conspiracies are much more interesting than the truth.