My grandma is afraid of fireworks. So is my cousin. Like Sakuya said, it makes the world boom-y and everything shakes. They also can't stand thunder.
My grandmother was born before WW2, but she didn't live where there were any bombings. That also doesn't explain why my cousin, who was never near any explosions at all and is younger than me, is so deathly afraid of pretty lights that go BOOM in the sky.
Maybe it's just a phobia?