I know what you mean. You can make particles sprite with the same colors used in the sprite you want to explode, or maybe even with small pieces of the original image.
dropbox.com/s/3hteq4egwd3xdny/SpriteDestroyIntoPieces.c3p
If you want an accurate explosion effect like this (sorry, couldn't find a better example), you'll have to do it the hard way - cut the image into many pieces in editor, create a sprite with these pieces, arrange them properly on the layout. When the object explodes, move the pieces to the object position, enable Bullet with angle of motion directed from the center of the explosion.