Long story short, I see fan analysis where people say, "hey, this wouldn't work if it ran on compressed air, yadda yadda" and I agree, it wouldn't. Even though it looks like it runs on compressed air, the gas emitted seems to be grey and such, is it ever explicitly stated anywhere in the canon that it uses compressed air? I hear in the English translation just the much broader term 'gas' and we never actually see any air compressors or anything like that. Just speculating but given the ODMG internally has some kind of turbine mechanism, it appears that a much more likely candidate would be some kind of gas that reacts with the air and spins the turbine to create thrust.
I know this is fiction but the whole 'compressed air' thing is a bridge a tad too far especially considering that this is fiction and so Isayama could have just written in the existence of some kind of fictional gas that does everything he needs it to do.