Ignoramus19762 fired this volley in
:

So, why exactly do they explode? Can you explain?

Rapid heating (to plasma temperatures) of the air. It gets heated to
several thousands of degrees in a few tens of microseconds. That releases
a physical shock wave (due to the expanding ball of super-heated gas -- if
you don't know them read the Gas Laws) equivalent to a small charge of
explosives.

LLoyd