Dynamite is highly unstable, and so it’s quite possible to set it off by shooting it.
Also, she lights the fuse before it’s thrown. Hence why it explodes either way.
Edit: As a matter of fact, dynamite is probably one of the only explosives you could set off by shooting it. Dynamite is shock sensitive and uses a blasting cap (or in this case, a bullet) to make it explode. Hence why a lot of people trying to make explosives illegally blow themselves up. Dynamite is very sensitive. It has feelings too!