check the rad cap first, that's always a possibility. Next check would be to see if there's any hoses that have cuts/holes in them that it's steaming out of. I had one of those, it was pretty obvious though, it would steam a little while it was on, maybe not enough to notice, but as soon as you turned the car off it was like a navy catapault vented.
If it's not those two, you might be looking at a BHG. Unfortunately a compression check is not definitive a lot of the time. I assume there's no oil in the coolant (you'd have noticed/mentioned that), check for coolant in the oil, and next step would be to check for exhaust gas in the coolant (you can get a test kit at NAPA).