I’m almost (but not quite) certain that the transformers there are not water cooled. Typically, they’re filled with insulating oil, then the oil is circulated, either by pumps on the larger transformers, or convection on the smaller ones, through radiator fins where fans blow air across to cool the oil.
A couple of things could have happened - lack of maintenance and keeping tabs on the transformer may have resulted in breakdown of the oil’s insulating qualities and internal short-circuit/failure which could cause it to potentially explode and catch fire. Or, the oil level wasn’t monitored and got too low. Cooling system failure (though they should trip off line if they get too hot, automatically).
It’s not common, large transformers in substations and plants do fail once in a while.
I figure (and knowing nothing about power generation) that if bad actors of one sort or another wanted to create a blowout of Hoover dam or mess up the power station, they would have been able to think up something worse than a transformer exploding.