Helium would to be burn the methane. Why this would not be a suitable method to obtain helium?
Well, helium is a inert, elemental gas....
...whereas methane is a gaseous hydrocarbon... These materials cannot be interconverted. A volume of methane would BE APPROX HALF as DENSE as an equivalent volume of air (to a first dinitrogen or dioxygen). On the other hand, dihydrogen is HALF as dense than the equivalent volume of helium... Why is dihydrogen not used for airships, and dirigibles...?