It can only happen after pop rocks and coke make your stomach explode.
Compared to water, that may be a good thing. I read in a National Geographic magazine years ago that water is a universal solvent. That is why drinking glasses get brittle over the years of use and shatter easily.
But, back to topic at hand, wouldn't ammo if heated enough just sort of fizzle? I've heard that unless it is in an enclosed place (think weapon chamber) it won't explode.