Two things: some chemicals don’t need oxygen to burn. Some are better oxidizers than oxygen, like fluorine. It’s actually close to impossible to put out a fluorine fire, since you can’t even smother them, and they’ll even burn things like concrete.

Second, for the sounds of explosions, one way it’s explained in some scifi is that the sounds you are hearing are computer extrapolations. Elite Dangerous is a notable example of this explanation.