[Yo-Yo]

I wonder if that means the missile didn’t explode on impact, basically it was a giant needle that punctured the balloon causing it to deflate, instead of exploding.

The AIM-9X is equipped with a laser proximity fuse. It explodes when it senses it's near its target, not when it hits.

The missile contains a blast fragmentation warhead designed to blow shrapnel in a ring around the missile, striking the target.

Looking at the closeup video of the kill, it appears that the missile hit the payload, not the balloon envelope.

https://twitter.com/i/status/1622037298073464834

[PIF]

Yet the payload appears intact after the hit and only seems to breakup after falling some distance.