Last night all that could be found were really different theories, but now it is clear that the ring was indeed caused by a fire exercise.
To demonstrate how Diesel can explode/burn intensely, they fill up a big "barrel" like object, and ignite it. The explosion/intens fire causes a big diesel ring of smoke to rise up into the sky.
These are apparently not uncommon in the area where it was spotted, so the newspapers reason of questioning what it was must have been to get more hits on their website...
Looks like Mulder and Scully can consider this case closed.
"If guns don't kill people, people kill people - does that mean toasters don't toast toast, toast toast toast?"