They don’t burn but explode ?
Sodium, in elemental form, reacts violently with water. So violently, as a matter of fact, that humidity (water in the air) may cause a reaction. It must be stored so that it can’t make contact. Elemental sodium is often stored in a vat/can of something like kerosene, so it can’t make contact with the air. At least that’s how it was stored by my Chemistry teacher in the stone age...
I’m sure, however, that the batteries will use a sodium compound, and not elemental sodium. It is very stable that way. (Table salt, for instance - Sodium Chloride “NaCl”)