Some were real
During the late Unpleasantness Between the States, experimental minie balls were developed with exploding tips. It idea was that they were to be fired into the ammo containers on the limbers of artillery to blow them up.
They did have to be loaded with some care in a muzzleloader!
For obvious reasons, they weren't exactly effective and nothing much was ever heard of them again.
I actually made some for my .58 rifle-musket but, compared to a 500 grain bullet, the results were essentially insignificant on anything I used as a target, including an old abandoned car. (This was more years ago than I care to remember, so details are not exactly fresh and clear. I distinctly remember that the experiment was a waste of time.)
Bottom line: yeah, they existed but are highly unlikely to be commercially produced today if only for liability reasons.