The concept of a balloon is that the total structure must have a density less than that of air. The least dense thing you can have is vacuum. Therefore it should theoretically be possible to make things float with vacuum.
>A vacuum balloon would just collapse without super heavy support.
Yes, or at least at small scale it would.
Let's assume the vacuum vessel is a sphere. The pressure of the atmosphere is pushing on the surface, creating a force equal to the pressure times the surface area. Buoyancy, on the other hand, is determined by the negative weight of the vacuum plus the weight of the vessel, which ends up being a function of volume ultimately. The thing about spheres though, is that as the radius increases the volume increases faster than the surface. Would this mean that with a large enough scale the amount of vacuum within would allow for a strong enough support structure whilst remaining buoyant?