What is the thin sphere of liquid that in closes air and other gas

Answer is: bubble.

Bubble is a globule of one substance in another, usually gas in a liquid. Due to mass transfer along an interface between two fluids due to a gradient of the surface tension, bubbles can stay intact when they reach the surface of the substance.

A bubble is a thin spherical shape of liquid that holds air and other gases inside. If the inside of a bubble was no longer contained gas, and only contained liquid, it would no longer meet the criteria to be a bubble.