I knew a guy who was on steroids thus had very high blood pressure, after a work out making his blood pressure even higher a mosquito bit him and exploded.
No. Because they bite into small veins and capillaries (not arteries). The pressure in these types vessels are very low even if you have high (arterial) blood pressure. So I would say it's medically impossible. If it exploded, ruptured or whatever, it must have been because of something else.