Heating milk causes the water to evaporate from the surface and a thick layer to form on top. This thick layer is a combination of fats and proteins that remain after the water evaporates.
Eventually, the water vapor is not able to penetrate the thick layer of fat and proteins so it gets trapped underneath. There may be some bubbling around the edges of the top layer, but it is difficult to determine what is happening beneath it. Once enough water vapor accumulates below the top layer, the pressure is great enough to cause the water vapor to literally explode through the thick layer on top.