Depends which world you're on, but it sounds to me like you need to switch vehicles to your balloon first. Try pressing F3 to cycle through your vehicles. Or, with your inventory open, use page up/down to highlight your balloon, then press end to select it.
you have to hold insert down, not just hit it once. or click the slider and slide it up.
it happens on all worlds i have flown a balloon on. i've been meaning to post a bug about it.
unlike normal planes, if your in a balloon, hitting insert does make it go up, but it also opens your inventory.
