Because they definitely had a good supply of helium and/or hydrogen laying around to fill these balloons with, when levers and wheels were too advanced.
I'm assuming you subscribe to the Baghdad battery idea? Even that would produce only a tiny amount of electricity if it did at all. It definitely couldn't be used for this or even the lighting idea some crazy people support. It may have produced a tiny jolt and have been used for religious purposes as they couldn't explain the small shock.