First and foremost, a video! Huzzah!
So, why do these bubbles evaporate into mist instead of freezing and shattering? Well, that is due to the properties of fluids and fluid dynamics.
Have I mentioned before that I'm really bad at fluids? The oil of the soap, the cold air, and the surface tension of the water/soap mixture all mis together with SCIENCE and create wispy frozen bubble clouds. Technical terms of course.
I really don't get fluids. They're just pretty.