How can I show explosion image when collision happens?

The explosion is just shown for a short moment. Use pygame.time.get_ticks() to return the number of milliseconds since pygame.init() was called. Calculate the point in time after that the explosion image has to be removed. Add the coordinates of the explosion and the end time point to the head of a list (explosionList ). Draw the explosion(s) in the main application loop. Remove the expired explosions from the tail of the list:

explosionList = []

while run:
    current_time = pygame.time.get_ticks()
    # [...]

    for missile_idx, missile_val in enumerate(missiles)
        # [...]

        if missile_rect.colliderect(rock_rect):
            explosion_sound.play()

            explosion_pos_x = missile_pos_x
            explosion_pos_y = missile_pos_y
            end_time = current_time + 2000 # 2000 milliseconds = 2 seconds
            explosionList.insert(0, (end_time, explosion_pos_x, explosion_pos_y))

            # [...]

    for i in range(len(explosionList)):
        if current_time < explosionList[i][0]:
            screen.blit(explosion, (explosionList[i][1], explosionList[i][2]))
        else:
            explosionList = explosionList[:i]
            break
    
    # [...]

With this algorithm it is possible to manage multiple explosions.

See Time, timer event and clock

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Minimal example

import pygame
pygame.init()
window = pygame.display.set_mode((210, 210))

def create_rectangles():
    global rectangles
    w, h = window.get_size()
    rectangles = []
    for x in range(0, w - 60, 60):
        for y in range(0, h - 60, 60):
            rectangles.append(pygame.Rect(x + 30, y + 30, 30, 30))

create_rectangles()
hit_list = []
fade_out_time = 3000

run = True
while run:
    current_time = pygame.time.get_ticks()
    
    for event in pygame.event.get():
        if event.type == pygame.QUIT:
            run = False

    point = pygame.mouse.get_pos()
    collideindex = pygame.Rect(point, (1, 1)).collidelist(rectangles)
    if collideindex >= 0:
        end_time = current_time + fade_out_time
        hit_list.insert(0, (end_time, rectangles[collideindex].center))
        del rectangles[collideindex]
    if not hit_list and not rectangles:
        create_rectangles()

    window.fill(0)
    for r in rectangles:
        pygame.draw.rect(window, (255, 0, 0), r)
    for i in range(len(hit_list)):
        delta_time = hit_list[i][0] - current_time
        if delta_time > 0:
            radius = round(30 * delta_time / fade_out_time)
            pygame.draw.circle(window, (255, 255, 0), hit_list[i][1], radius)
        else:
            hit_list = hit_list[:i]
            break
    pygame.display.flip()