Does Cyano Have Bubbles?

If you ask just general question about bubbles - they are harmless. The cyano though is bad thing for your tank.

Why does my algae have bubbles?

It's normal for algae to do this, especially cyano and filmy stuff like that. Algae breathes CO2 and releases O2. But are you saying you blow the algae off then let it just float around willy-nilly? It should go without saying that if you just leave it in the tank it will break down and create more algae.

Do diatoms have bubbles?

Yes you can have bubbles with diatoms, it can be caused from micro bubbles attaching to the liverock. Dino's often looks stringy with bubbles.