I agree with Chemman. The bubbles in your mud are most likely caused by your mixing the mud when it was too thick. You have to remember that premixed muds are awfully thick because no one wants to be paying to transport water. Don't be scared to thin your mud with water to make it easier to work with. If you'd thinned your mud with water, it would have been easier to spread, and those bubbles would have come out when you were spreading it. As it is, your joint compound was too thick for those air bubbles to break through to the surface of the mud, so the joint compound dried with the bubbles inside it. Those bubbles only came to your attention when you sanded the joint compound down; thereby revealing those bubbles.
Whenever you're doing any plastering work, ALWAYS ALWAYS ALWAYS have a bright light shining at a sharp angle to the wall to exagerate the roughness of your work. If you'd had a light shining on that spot when you were troweling your joint compound on, you'd probably have spotted bulges in the joint compound where the bubbles were, and you would have fixed the problem before you primed.
If it were me, I would just mix up some more mud and apply a coat directly over those bubbles, probably apply a second coat to fill in the shrinkage (if necessary), sand smooth, prime and paint. You should be OK then.
