Helium was controlled by the US military as a military resource. There was no open market in its sale, so any exports had to be approved by the military as well as the American government. As a result, almost no helium had been exported from the US by the 1930s.
It's something of a myth that the Americans refused to supply helium to the Hindenberg. When she was being designed in the wake of the R101 catastrophe there was a proposal to use helium as her lifting gas and hydrogen anti-ballast to compensate for fuel consumption. However, she was redesigned at an early stage as an all hydrogen ship for a couple of reasons; helium was hideously expensive and the Germans were reluctant to spend hard currency on obtaining an alternative to cheap domestic hydrogen, and secondly, Zeppelin had never lost a passenger ship to hydrogen fires. When the R101 report was finalised and it was shown the British had built a bad airship, there seemed to be no case for helium.
Zeppelin only formally applied for permission to obtain helium after Hindenburg burned. Hugo Eckener, who headed Zeppelin, personally lobbied Roosevelt for helium supplies to inflate the second Graf Zeppelin and Roosevelt agreed. However, in the meantime (it was now mid 1938), Germany annexed Austria. The US Secretary of the Interior, Harold Ickes, considered Germany a potential threat to the US and blocked the sale of helium. The second Graf was inflated with hydrogen.