Courtesy of Krulwich Wonders: multiple species will make their own games and toys out of thin air, literally, using a variety of different tools:
Humans do it with smoke.
Dolphins do it with air.
With a little snort, dolphins can produce a nearly perfect "air" rings, (sophisticated non-dolphins called them toroidal vortices) which they turn into underwater toys.
While humans and dolphins obviously play with rings, it’s possible humpback whales do this too. The video shows humpbacks sending air rings to the ocean surface, but in one of them, the giant underwater author suddenly pops up mid-ring to take what looks like a bow in front of a boat of whale-watchers.