I have actually had this happen when I was young. We have legal fireworks called a 'Kanonslag' (loosely translates to cannon blast). Those contain about 0.45g of black powder. I ignited one, threw it, and it didn't explode. Now, my dad had it drilled in that you never pick up a previously ignited firework, but I could still see the fuse sticking out, only smoldering, so in my mind nothing could go wrong. When I picked it up and clutched it the fuse slid into the firecracker and it blew up. I felt my hand forced open and it felt like each of my fingers had been slammed by a sledgehammer. Now, I didn't suffer any permanent damage, but my hand rung for a solid hour or so.

Then there are also illegal fireworks like 'Bex nitraat' (Bex is the brand name, and nitraat doesn't require translation) from Poland. Those will maul the entire hand, and are a guaranteed loss of fingers.

There is other illegal stuff like a 'Vlinderbom' (Butterfly bomb, known as a Spanish cracker in other countries). These have the explosive power of a small hand grenade and the aftermath of using one incorrectly doesn't need elaboration.

Plenty of footage and images on the internets what happens when you hold fireworks in your hand. Not so much a hole as your fingers get shredded / blown off.

Armageddon (1998, movie)