The air would be freezing cold - hence the vapour trail (that's not steam). I think it's a bit like deodorant - cold when you first apply it.
It's all to do with physics and gas pressure (have a read of the comments underneath the video for a better explanation).
EDIT : Copied from the comments "no, your terribly wrong. It is compressed when it is put into the tank, thats why it gets hot. When it leaves the tank at that rate, it becomes incredibly cold. ANY gas under large compression is subject to intense low temperature when it is released. If you dont believe me, go fill your tank, air up your gun and just dryfire until all your air is gone from your tank, then feel the tank. it will be cold. Peace".