The answer is bubble hair. The term 'bubble hair' does literally mean bubbles form in the hair.
There are two necessary ingredients
1. Wet hair (water)
2. Heat (contact heat e.g hair dryer nozzle or flat iron or curling iron)
Where do the bubbles come from?
Quite simply, the water is heated up into steam (essentially air) which gets trapped inside the hair as a bubble. Remember that water forms steam at around 100 degrees C (212 F). Most heating tools go well above this temperature.
Bubble hair feels rough and lumpy. It is also more brittle. Tests on bubble hair show that the cortex of the hair is damaged and the bubble actually is an air bubble. (J Cutan Pathol. 1992 Oct;19(5):439-44 , Br J Dermatol. 1994 Dec;131(6):901-3. )
Have you ever experienced bubble hair?
Image Credit: P&G remixed by yours truly