The BBC’s Bang Goes the Theory used a giant gas-powered vortex cannon, which when fired created doughnut-shaped air vortices.
The cannon is not shooting a ring of smoke. The propelled air causes a pressure drop so sudden that air’s water content rapidly condensed into a ball of water. The ring you see is water vapor.
The vortices traveled at about 200mph and brought down a straw house, a wood house, and a wall of bricks (no mortar, so not quite a house).
Source and info here.
What’s Happening Scientifically?
The air envelopes the ball of water, forcing the impacted surface to peel back. As the water’s surface rolls over itself, the air eventually punches through the ball, sandwiching the water between two cones.
The water begins rolling around the inner cone, kind of like if you carefully rolled the cuff of your sock down so that it creates thick, single-looped donut around your ankle. The outer cone drags the water ring along with the speeding air towards the target.
Both layers exude enough force to keep the water ring’s shape intact.