Although just about anything is possible it's unlikely that a AAA battery would explode when in normal use in a device but if a AAA battery was put into a fire then yes they can and will explode because I tried it before.
The battery should have a warning on them stating to never put in a fire or incinerate them because they can explode.
I put a couple in an outdoor fire once just for fun and to see if they could actually explode and when I did it exploded and made a loud bang type noise.