Faulty electricity storage devices such as batteries certainly can heat up if they suddenly begin to discharge their load. Large NiMH batteries such as those of laptops have recently been implicated in quite nasty incidents, but they are not the only ones. Little AA jobs are less risky, but considering how many millions of them are used every day, you just have to assume that some will have a nasty surprise for someone.
Remember that every power storage device, ranging from a clockwork spring to a tank of petrol or carton of coconut has the potential to cause trouble if its stored energy is released in inappropriate circumstances. That AA cell just hit it wrong; are you sure it wasn't damaged?