The helium particles are in fact ejected by the ion beam passing through the coil by the mere fact that they are positively charged and in a big electric/magnetic field. Behind that coil is a chamber which is evacuated. The main chamber contains evaporated decaborane with a pressure of about 10 mbar (7 torr). So the main chamber is always filled with that gas at low pressure compared to our atmosphere. Only a very small portion of the gas is ignited.
The main concern is overheating, which will limit the rate of the pulses, i.e. how fast you can remove waste heat from the anode. Current design proposes a beryllium anode (and also cathode) with helium as coolant, because of the low Z (number of protons in their core). Beryllium and helium are translucent for x-rays.