It could be two things.

1) Weather conditions are "near dew point", i.e. the temperature where the humidity starts condensing in the air and turning into water droplets. When you see little clouds forming off the wings of aircraft, that's what's going on. The high pressure shockwave from your gun firing or the aircraft wing creating a pressure shock-wave, condensing the air, it triggers water droplet formation.

2) You could have some kind of oil that's getting burnt. If you're not near dew point, this is perhaps a bit more likely.

I live on the west coast, so (1) happens all the time as we're regularly over 70% humidity, and within a degree or two of dew point.