Methane, like hydrogen, must be mixed with oxygen to burn. However, hydrogen has a much wider range of mixtures it will burn at than methane does. Methane will only burn when it makes up 4.4% to 17% of an air mixture, while hydrogen will burn in the range of 5% to 75%. So you could have quite a bit of air contamination in a methane balloon without worrying about it being flammable. The reverse situation is where you have the explosion risk-- which is a room full of air contaminated with a much smaller amount of methane. That's where you get the problematic 5-17% range that causes the scary explosion stories you hear in the news. In a balloon filled only with methane you would not be anywhere near that mixture, even if you were very sloppy in filling it or started with an envelope that already had some air in it. Methane has about half the lifting force of helium though, so you would need quite a bit more of it. This does not mean your blimp would have to double in length though, since volume increases in a cubed relation to it's individual dimensions. For example, if you had a 15 ft long blimp with a volume of 132 cubic feet, you would only need to proportionately scale it to about 18.5 feet to double its volume to 272 cubic feet. That still keeps the envelope small enough to make flying with methane viable, you just have to keep in mind that you would be buying twice as much of it as the helium.
Ammonia is another gas that can be used for lift, but it has even less lift than methane and has very noxious fumes.
Flammability Limit Reference: