Yes, the most common cause is water that freezes inside the heat exchanger (or anywhere else in the unit) and expands and ruptures the units internal piping.
This can be avoided by draining the unit when you expect weather temperatures below freezing point. Each gas geyser should have some sort of drain port.
Alternatively, you can get a fan force driven gas geyser that comes equipped with an antifreeze kit (most come with it pre-installed) and it will stop the unit from freezing.
a gas geyser can also burst in the event that the unit does not detect the water flow has stopped or perhaps a malfunction of the gas regulator which causes too much gas to be supplied to the unit and overheats the heat exchanger, then there will be a build-up in pressure in the unit and it will eventually burst. However, this is not very likely as there are multiple safety features on gas geysers to prevent something like that from happening. You can read more about the safety of gas geysers here: https://gas-installers.co.za/are-gas-geysers-safe/