My instinct is that the skeletons can 'interrupt' the sparks of pain effect and explode but I don't want to just rule this myself and my head hurts too much to sort it out right now.
Sparks of Pain give Aura 4, enough to kill copper level skeletons.
Aura (4)
Each time an enemy figure moves into a space adjacent to a figure with the Aura ability, it immediately suffers 1 (4) wound(s) that cannot be reduced by armor. The Aura ability inflicts no damage when the figure that possesses the ability moves adjacent to an enemy figure.
Captain Bones has an upgrade that allows skeletons to explode damaging adjacent heroes.
Death Head
All of your normal (ie non-master) Skeletons gain the ability to explode. They may do this at any point of their activation for free, dealing one red die of damage (ignoring armour) to all enemy figures in adjacent spaces. Skeletons that explode are instantly killed and cannot be prevented from dying by any means.