Have you ever seen a hot air balloon with a motor attached to it to provide forward power and control?
No I haven't (unless you're thinking airships: Lindstrand HS110 - Hot Air Airships & Thermal Blimps: A Worldwide History), probably because it would take a really large motor and propeller for a full scale balloon to go against the wind current since the shape of the balloon wasn't designed for that purpose. I feel it is possible to do this indoors where air is relatively stagnant. If you take something like a trash bag and stuff it with balloons so that it becomes one piece and more aerodynamic, then affix the gondola to the bottom, there should be no problem moving indoors.