JF Ptak Science Books Post 1763 [Part of the Strange Things in the Sky Department.]
In my experience of Strange-Things-in-the-Sky Department,the idea of the exploding Earth is far more popular and more illustrated than that of the Exploding Moon. So far as I can recall Moon doesn't explode in most cases of early sci fi, including the earliest case of Lucian's Icaromenippus and his great True History (a satire on outer space travel and interplanetary warfare between the kings of the Moon and the Sun over possession of the Morning Sat (Venus). Nor does the Moon explode in the other very early efforts of de Bergerac (1657), Francis Godwin ( Man in the Moone, 1632, where Our Hero gets to the Moon on a goose-powered aerial something), Johnannes Kepler ( Somnium, 1634) and others. The Moon gets into trouble enough, but not so much trouble to lead it to blow up.
(I can't leave this without mention of Robert Heinlein, who wrote many short stories addressing the Moon, many with fantastic titles and even better story lines: "Columbus Was a Dope", 1947; "Gentlemen, Be Seated!", 1948, about a lunar tunnel; a Boy Scouts on the Moon, "The Black Pits of Luna", 1948; "The Man Who Sold the Moon", a 1949 "Nothing Ever Happens on the Moon", 1949 (future Boy Scouts on the Moon); "The Menace From Earth", 1957, (Lunar teenager angst and a muscle-powered space ship); "The Moon Is a Harsh Mistress" (1966), (and a Lunar penal colony)–lovely titles for some superior writing.
The Moon certainly takes abuse here and there, ranging from cloud attack (in Lucian) to colonization to this very memorable (and frightening/disturbing, as I found as a child) as in the case of the Man in the Moon being shot in the eye with a space ship (George Melies, Le Voyage dans la lune ( A Trip to the Moon) (1902)).
And so in a bit of rambling about the Moon that has gone on in this blog, there are no other mentions of the Moon exploding, though there are some other strange things going on there. Just not "exploding" strangenesses.
And especially not Laurie Anderson's "The Exploding Moon".