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? This cannot be easily quantified. Transformers normally fail due to excessive through fault current. This does not mean that all transformers that fail explode - most do not, for good reason. An exploding transformer is a danger to anyone in the area. Some oil filled transformers are huge (several hundred tons). Protective devices usually operate fast enough to keep catastrophic failures like you're looking for from happening.
If the protection fails to clear faults fast enough, can happen. So the percentage of failures really does not have to do with the transformer (oil filled, gas, whatever kind of transformer) as much as with the protection implemented for that transformer.
I've seen two large transformer failures; neither resulted in an explosion. I've also seen an oil filled breaker fail (as a result of incorrect protection), and it did explode. It totalled a vehicle several hundred feet away.
So... I'll say "1 in a million" or .0001% would probably be a good, totally unqaulifiable answer.
