You should connect two different actors via Blueprint first, since in Details editor you can only specify component name within current blueprint.
I’m doing it in Level Blueprint for simplicity, but it can be done anywhere.
First component is balloon itself, second one is your static/skeletal mesh, leave Bone Name as None if you’re not planning to use exact bone.
Also, most likely your balloon and cable mesh will be offset and incorrectly placed at the start so some tweaking of base/end positions will be required, however, balloon should move correctly, following your character.