On 2 September 2021, the Firefly Alpha launch had an explosion. The reason does not appear to be available on the web. Even Firefly Space's website does not give any information as to the cause. So, why did it fail? It was past Max-Q, the point of maximum aerodynamic pressure during the launch, so an explosion is unlikely to be from the aeroforces. It was also out of the densest part of the atmosphere, and I can not see how it could have burnt up as it wasn't moving that fast and it wasn't that low in the atmosphere. An engine shutdown would also be unlikely to cause the rocket to spontaneously explode.
This was answered by Firefly's CEO in a factory tour video by Everyday Astronaut. Link to the video with the timestamp to the question(skip to 41s if timestamps don't work):
In the video Firefly's CEO explains that the pins in an electrical connector providing the power for a valve on engine 2 sheared off, breaking the electrical connection. As a result the valve closed and the engine shut off.
Telemetry data pointed to this failure cause and they also recovered all engines of the crashed rocket and found the connector had failed on engine 2.
Firefly Aerospace said Sept. 5 its first Alpha rocket failed when one of its first-stage engines shut down seconds after liftoff.
Firefly posted a video of the Sept. 2 launch from Vandenberg Space Force Base in California, which ended when the rocket tumbled out of control about two and a half minutes after liftoff. Space Launch Delta 30, which operates the range at Vandenberg, then destroyed the rocket using its flight termination system.