Yes a bald tire could explode or at least come apart and blowout on the highway when driving.
When a tire gets bald the steel belt on the inside of the tire that holds the tire together starts to show through and the longer you drive on the bald tire the more the tire will come apart and the more the steel will show through the tire.
When a tire gets down to the unsafe tread mark and there's not much tread left on the tire then it's time to change the tire.
It's not worth the risk of having a blowout on the vehicle which can potentially kill or injure you or your family someone else.
Bald tires also do not grip properly so you could hydroplane in wet conditions or slide on the road during wet or snowy and icy conditions.
Tires need the treat to grip the road properly and when the tread wears down it cannot keep a grip on the road like it should.
The tire will then also eventually blowout on you so get the bald tires changed as soon as possible.
In some states you could also get fined for having bald tires so take that into consideration as well.