I don't think he would pop because I don't think there is a build up of pressure inside him like a balloon since he has all those exhaust vents. I think it would be just like sticking a pin into regular flesh except maybe you'll have a small gas leak coming out.

If it wanted to use self-destruct/explosion it would close it's orifices and build up the gas inside. Then maybe if you stuck a pin in him he would pop.