It was on my local news. And I do not know all the details. Window Air Conditioner
Blew up, flames went into the house, and the ac finally exploded . The house caught fire.

How does this occur. I though the breakers would trip, when there is a short.
Is there any safety feature I can purchase, to prevent something like that to occur?

Would this happen to be the event?

Air conditioner might have caused fire : Local News : Abilene Reporter-News

Sounds similar, but does not mention the unit exploding, so may not be the same one. Which means it happened in at least two locations.

In any case, with all the safety measures implemeted in an electrical system, there can always be a situation that can get by these measures.

Debris inside the unit, either a varmit nest or accumulated dirt, the insualtion materials, and so on, the brreaker cannot stop from happening.

Once the combustibles are in flames, the breaker may trip once the right wires inside short out, but the fire is already involved.

Improperly oversized breakers often can contribute to a fire.

With any appliance there is risk, albeit hopefully small, as long as the wiring is correct, and the unit is maintained properly.

I know of no other device you can purchase to prevent this from happening, off the top of my head.