There is helium inside. Very leaky. But, I think, you mean that helium is non-flammable and do not do any environmental damage.
I'll speculate that since it's compression and decompression (as opposed to phase change) that's being exploited, you need a small gas whose behavior is as close to the ideal gas law as possible. Smaller gasses are also more volatile and leaky though, so there is probably some tradeoff.
FTA: Because helium remains a gas until -200 C, we can achieve higher temperatures inside our heat pump core
N₂ boils at −195.8 °C, but that will be higher at 30 bar.
Hard to see how that would be a problem in this application.
Would be interesting to see how much.