In practice all large enough transformers will have protective equipment to disconnect them from the grid in conditions of overcurrent, such as might be caused by exceptionally severe solar storms or nuclear EMPs. This has its own downsides (turning on the grid from scratch is an extremely complex operation as power plants themselves need electricity to operate) but the risk of a substation transformer exploding as a result from incorrect line voltage is minuscule IMO.

It is possible that smaller control equipment might fail as those are usually more fragile electromagnetically speaking, but once again that would be a problem for getting power back online, not in the "transformer explodes" kind of way.