It’s aliens. Their own planet is dying after thousands of years of industrialization. The air is polluted, poisonous, and taxed. Fresh air is so ruinously expensive it’s out of reach of ordinary lizards, who have to get by on recycled.
So there’s a booming trade in air-smuggling. The smugglers come here in fast, stripped-down interstellar craft, using illegal cloaking devices to evade the customs and excise, and steal air from places that won’t attract too much attention. Our governments are all well aware of what’s going on, but are saying nothing. A combination of kickbacks and fear sees to that.
This time the smugglers got sloppy. Just be grateful you weren’t around when they took it.