What weighs less than helium and is literally everywhere? NOTHING.

If you had a balloon full of vacuum, would it weigh more or less than a balloon filled with hydrogen or helium? Now imagine you had a multiwall saucer craft with exterior walls filled with hard vacuum and partial vacuum zones? Would you float? Could you move very fast through the sky? Would it be easier to survive in space?

Pressure Differential Counts.
Unless you're smart.

Note that this trick works perfectly well for hard vacuum environments.

Outer zone, ocean pressure 100% at whatever depth...

Pump in ocean water so outermost layer has 75% current ocean depth pressure.
Next inner layer has 50% current ocean depth pressure.
Next inner layer has 25% current ocean depth pressure.
Next inner layer has 0% current ocean depth pressure.

Each hard wall only has to resist a 25% pressure differential.
To pad out walls, fill with balls that can be pumped to 10% current pressure differential per current wall layer. Or brick shapes using this trick.

You use the ocean pressure at a lesser intensity to protect yourself from ocean pressure. You don't need extraordinary super materials, you just need layers of them.

PRACTICALLY SPEAKING... you need dense wall layers in the human zone and on the exterior to prevent simple stupid punctures or wall cracks. Redundancy could be enacted by isolation of pressure zones like bricks. You could also ice up pressure zones as cheap redundancy.