I've spent the better part of an hour to see if there was any quick way to do it, but nothing came up yet. The idea is to set the projectile sprite's animation_id when the check_explosion call is made. You'll have to edit some of the update methods for Spriteset_Map and other sprite classes to ensure that, for this special scenario, you don't prematurely dispose the projectile sprite until after the explosion animation finishes.
I'm at a point where I can see the first few frames of the animation but a fade_out flag is being set, which causes the opacity to reach 0 and the animation disappears (probably because one of the update methods I pointed out above is disposing the sprite).