One article on a Lithium AA explosion

Candlepowerforums has a forum area titled "Smoke and Fire, Hot Cells and Close Calls - The dangerous side of batteries"

The reports of primary combustion/explosion are much fewer than secondary failures but they do happen. Fortunately primary Lithium cells are mostly smaller than secondary so the results aren't so bad (Tadiran makes larger primary Lithium cells but they're rare by comparison and a different Lithium chemistry)