You can break an egg into a buttered custard dish, cover with plastic wrap and microwave and if you didn't break the yolk first, it will explode. It's the yolk that explodes.
My guess is both the whites and the yolks would heat up to the point where the egg explodes, the yolks have their own separate membrane which is why they'll explode even if the egg is cracked into a dish but the yolk isn't broken.
Eggs without a yolk are very rare, and they never make it to the grocery store these days due to automated candling processes, otherwise someone could test this.