If I put balloons in my clan castle and they are triggered by an attacker. Do the bombs they drop do any damage to my own base or are my own structures immune to those bombs?
Your units cannot deal damage to your own base, and that includes units you received in your clan castle.
And that includes Balloons, even if they usually deal damage to their surroundings should they crash down.
The same applies for Valkyries, Wizards, Dragons, Golems, Wall Breakers (if somehow you received those as cc troops) which do splash damage one way or another.
The damage they deal will only affect enemy troops.