Nope they don't, :) the gas boys ,( generally the Americans ), used to use a substance called propel, air brush propellent...however it was found to contain butane...small amounts but...could be potentially explosive....now that has gone and a product called super duster is used, a compressed gas that is inert, it is used to blow out keyboards etc and harmless. So you can rest easy, most European sub modellers use piston tanks or recirculate air through a compressor arrangement known as a RCABS system. Reciprocating Compressed Air Ballast System.
Some folks over here use the gas system, mostly in small models where you don't have the space for either of the above..but its not ideal... you need to count how many surfaces you can get from your gas tank and you don't really want to run out of gas . Most subs are trimmed so that they will only submerge with the weight of a full gas tank and then only part way down so they always have a positive residual buoyancy, and then dive through dynamic motion the rest of the way..Of course you always need to buy gas too. You can now obtain very small air pumps complete with motor that are about 3 " long by 1 " wide so the gas tank may well be a thing of the past in years to come...
Hope I haven't bored you too much but YOU did ask