The thermite reaction doesn't produce any gas
Iron Oxide + Aluminium - Iron + Aluminium oxide and some heat. You'd melt the cannonball. And the cannon.
( L-Space - scientia sapientes vocat., Wed 3 Jun 2009, 12:03, archived)

Thermite is hot enough to melt steels and iron, perhaps, but it isn't hot enough to melt the teeth of a small african child.

( TonyUNDERSCORE from the Internet, Wed 3 Jun 2009, 12:08, archived)

Boiling iron wouldn't be far off, so you could do it with a little tinkering...

( L-Space - scientia sapientes vocat., Wed 3 Jun 2009, 12:14, archived)