Generally the bulb would explode, we presumed due to the heat causing internal pressure. Though at one point a bulb got really hot and melted a sort of bubble on the side. It seemed to provide enough space for the heated air so it never exploded and we could use it again and again.
You can use different gases in the bottle for different plasmas.
I'm finding it hard to imagine a situation where I desperately need to make plasma but I'll file this one away just in case. ;)
I know what I'm doing tomorrow with our old microwave.
Stars do it easily, because the confinement / pressure is provided by immense gravity which very conveniently works to compress a huge load of gas into a point space.