Exploding bullets don't use explosives in the tip. An exploding bullet will have a fluid or plastic material in the tip that causes the bullet to violently expand on impact. (Imagine a watermelon 'exploding' when dropped from a building.)
Nitroglycerin is extremely shock sensitive. The shock of firing is far more likely to explode the bullet in the gun. Rough handling or even chambering the round could cause it to detonate.