Geeky nerd alert:

Euro airbags are, generally, smaller and less energetic than the American types. But the smallest firecracker may do damage.

In any case the problem isn't the initial outgoing shock wave. In an open space the rise in air pressure (<10ms typical) is a single, transient event. But, in any enclosed environment the shock wave is bent and reflected back creating more complex waves of longer duration and greater intensity. More energy gets transmitted into a body's ears, eyes, lungs &c &c.

Rolling the windows down means less surface to reflect the shock wave back onto the occupants, not more room for the air to escape.