I did manage to short a 9V battery a couple of years ago when I inadvertently shorted it across a 9.6V NiCad AA battery pack. It got too hot to hold for more then a few senconds, and then it vented. I heard a faint pop-hiss when it did this.

I find it hard to believe, given the prevalence of 9V alkaline batteries, that some safety fetures was not built into the battery to prevent it from catching on fire.
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