What would you gain in that situation? Just some radiation shielding. Most stories about hollowing out asteroids wanted to gain at least some structural rigidity, which in your scenario comes entirely from the concrete you have to ship into space. Ideally you would want to melt the asteroid and blow it up to kilometers across and/or spin it for artificial gravity. Heating and melting foam is harder than solid rock or metal, and spinning it is useless if it has no strength in tension.
Structural rigidity in space is 99% tension and 1% compression, due to the lack of gravity, and I'm being generous to compression here. Rock is good at hold itself up against gravity, but is very poor at retaining an atmosphere compared to, say, UHMWP aka Dyneema.
Hollowing out an asteroid is more about raw materials and micrometeorite/particle shielding, both of which a slushy will provide in abundance.
In that case: blow up the balloon, melt rock outside balloon. You could make "cement" from grinding local material plus some binder, that way you bring in less mass. Radiation shielding is also a nice use for asteroid's mass. I'm just saying that blowing up a balloon is easier than extracting several cubic kilometers of rock from inside of asteroid. You can start from that premise and try to find some solutions.
> Heating and melting foam is harder than solid rock or metal
You can grind it, then blow it with very hot gas onto your baloon, making a nice melted coat of rocks. This technique is already used to repair metal rotor shafts, it deposits machinable metal: https://www.youtube.com/watch?v=NAeBpF84Q9M
Humans need room–temperature nitrogen, not nitrogen plasma. You would rapidly make the atmosphere inside your bubble unlivable. There are few easy solutions here.
Then you wait a moment until it cools down. Of course there are few easy solutions, space is very hard environment mercilessly waiting for you to make an error. You can find problems in every step. It doesn't mean you should give up before you start.
