When you open the bulb, the gas escapes and is replaced by air. and since you're supposed to wash it out, the water you fill it with pushes out any remaining gas, as well as washing the sides.
Argon is nontoxic, and has no odor. And it dissipates as soon as the bulb is opened. Are you using a frosted (glass looks white rather than clear) bulb? I wouldn't use a frosted bulb unless you scrub the internal coating off to clear glass. And NEVER use a fluorescent bulb! They contain mercury vapor, and the internal phosphor coating is also toxic. Bulb glass is real thin, and likely to crack when heated in one concentrated spot.