I have only had this happen when defrosting too fast (under a heat lamp), but it was a small rat. It only exploded when he coiled it. It was terrible, he didn't even end up eating it, and I had to bathe him and wash out the enclosure.
It could be the water you are using is too hot, or they may have thawed at some point before you purchased them and were refrozen.
I'd go back to the store and try to get your money back.
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