I have had a similar issue with Tamiya putty, though always when filling a series if fine grooves in body work. It would probably be the case regardless of what putty I used. Recently I filled the fine, molded vents in a Pantera hood, and as I swiped the putty over the vent fins, I entrapped a pocket of air at the bottom of each groove between fins. A more careful application of putty would have helped. When I sanded back the putty, I exposed these air pockets. I seemed to chase those air pockets forever, through several applications of putty. More air would get trapped in the pockets, and I just couldn't seem to work it out. Eventually I did with a couple applications of Gunze Mr Surfacer, which, being liquid, flows into the pockets and displaces the air.
In fact, any time I use putty and sand it smooth, I always follow up with an application of Mr Surfacer. Being very fine grained, it sands much smoother than any putty I have used, and is far superior at feathering out, and creates an all-round better finish.