My understanding is that it is not the air, but moisture. Water reacts with the battery chemistry to emit heat which can then turn into flames. But moisture on the air can be enough to trigger a fire. There are videos testing this on YouTube. Puncturing a battery is not instant fire, but it will turn into a fire if exposed for long enough, and water will only feed the chemical reaction, making it worse. Which is why it is so hard to fight battery fires.