"Out of thin air" is a common idiom[0]. Probably not needed, but not an unusual thing to say in this context either.

[0]https://idioms.thefreedictionary.com/out+of+thin+air

On the other hand, "heavy water" is a molecule different than "usual" water. One shouldn't drink heavy water.

https://en.wikipedia.org/wiki/Heavy_water

Actually according to that article it’s perfectly safe to drink in moderate quantities, as long as it doesn’t make up a large portion of your Total intake over an extended period. It isn’t radioactive

Fucks up your enzyme kinetics and is much more expensive than Fiji. Would not recommend.

Thick air would be polluted or misty, I think we use 'thin air' to emphasise there was no apparent substance to the air.