Bullet passing through ballistics gel - GIF

[Tonyg]

I think that it may be caused by "dieseling" when oils in the gel are subject to intense pressure from the bullet and then there is an inrush of air and the oil and oxygen spontaneously combust. You can see this effect often with an air rifle fired in the dark without a pellet and you will see a flame out of the end of the barrel.
Oil and oxygen do not mix, hence why diesel engines do not need an igniter to run, only air pressure.