The APU is contained in a fireproof box that ,in the cases I am aware of, has functioned properly. In addition, modern APU installations are usuaully designed to shut down automatically in event a fault is detected, in some cases firing the fire extinguisher as well. The act of shutdown closes the intake door(s) and bleed valves to contain the extinguishing agent in the now sealed box. So, external indications of an APU fire are usually confined to a puff of whitish vapour as the extinguisher does its job.
However there have been cases where the APU has suffered catastrophic mechanical failure and debris has been shed. I recall an incident at Heathrow involving a 737 APU where parts of the turbine were ejected through the exhaust and scattered around the Bravo cul-de-sac.
YS