Maybe, or maybe not - the pressure inside flash tubes is quite low. We'd have to find some data to the pressures used and the heat distribution in the gas caused by the discharge to figure out whether the pressure build-up during discharge gets anywhere close to critical. Personally I rather doubt it rises much above atmospheric pressure, given the thin glass walls on many of the tubes I've handled and that they seem to im- rather than explode as the worst possible failure mode.
HMI is quite another beast - with a tube under pressure to start with and continuous power at a scale not that far off what a flash does for its 1/2000s of burn (every five seconds as the heaviest use scenario possible). And even then, it is not that dangerous, security procedures on the fly sheets for my HMIs don't go beyond recommending goggles for lamp changes, and the worst I've seen from HMI in practice were cut fingers. Now Xenon short arc is the real bomb, under enough pressure even when cold that projectionists don something that looks like a bomb defusing squad body armour whenever they have to do a lamp change.
The Pyrex covers on higher quality flash heads doubled as a protector against flash tube and halogen breakage, but their primary purpose was to reduce the difference between the flash and halogen light distribution.
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