It's not a transformer. It's an underground high pressure steam pipe. One of the things ConEd produced and sold was high pressure steam to Manhattan buildings. Pipelines transport this stuff from the power plants, where it's just a byproduct of running the turbines, to buildings that use it for heat, hot water. Cheaper than manufacturing on premises. But the stuff is under seriously high pressure, and they occasionally blow. this must be a big one, perhaps going to supply Grand Central.
Not a terrorist plot, though now that their existence is so visible, perhaps a target for the future.