Why do paintballs explode in the gun sometimes?

Answer 1

This us usually because:

Your bolt is chopping the paintball in half, because the loader is too slow.

There are broken paintballs in your hopper, which, when hit by the bolt, explode.

Answer 2

The tank attached to the gun fires a blast of gas (most common are dry air and CO2) into the action... look at diagram. in the space and fires the paintball.