Learn English – What are these things called

bytebuster has the provided the correct term, although I would parenthesize it like this: (hot air) balloon. That is, these objects can simply be called balloons, or hot-air balloons if you want to be more specific.

Also, it may be worth noting that many dictionaries hyphenate the descriptive hot-air, although that hyphen is regularly omitted in the literature.

Hot air balloons belong to the family of flying machines called aerostats, or lighter-than-air flying aircraft. However, it should be noted that I've added that hypernym simply for reference purposes; the word aerostat is a more technical term that's seldom heard in day-to-day speech. In conversation, I'd expect to hear something more like:

Blimps and hot-air balloons are lighter-than-air aircraft.

I don't think the word would be inherently interpreted with sexual connotations, but as is often the case, context is all important.

For example, your sentence is lacking context and begins with "Have you heard...?" which suggests some element of gossip. However, if you added context to that, such as:

Do you know who Jim and Tina are playing golf with?

Yeah, they've made a foursome with Jim and Tina.

The issue with your question is that, in isolation, the lack of context seems deliberate - as there's no indication for what purpose they've formed a foursome - and that's where the potential for innuendo appears.

Of course, people will also take cues from your tone and body language, so your meaning should be conveyed correctly, given that you provide sufficient context.

Just to make clear, I'm a British English speaker (and live in that region), but I think it's important to provide a global view. I'm not personally sure that the Americans would see matters any differently, but I do find issues of this nature fascinating.