Yes, a compressed gas cylinder that is heated will explode, but it will not be anywhere near as powerful as a high explosive because there is no oxidizer other than the surrounding air. If you look up gas cylinder explosions online you will see that they are actually quite frequent in countries where gas cylinders are often used for cooking. But most of the injuries seem to be due to either the ensuing fire or shrapnel from the cylinder. Where a larger explosion is mentioned it usually seems to be the case that the gas was escaping into an enclosed area before the explosion.
I don’t disagree. However, (a) a gas cyclinder is easy to acquire, (b) the shrapnel from the cylinder was augmented with nails, etc.