Reading the Personal Memoirs of Ulysses S. Grant, he mentioned "explosive musket-balls" being used by the Rebels during the siege of Vicksburg. He writes:

"The enemy used in their defence explosive musket-balls, no doubt thinking that, bursting over our men in the trenches, they would do some execution; but I do not remember a single case where a man was injured by a piece of one of these shells. When they were hit and the ball exploded, the wound was terrible. In these cases a solid ball would have hit as well. Their use is barbarous, becuase the produce increased suffering without any corresponding advange to those using them."
U.S. Grant
PERSONAL MEMOIRS OF ULYSSES S. GRANT
ChapterXXXVII SIEGE OF VICKSBURG
(11th paragraph midway down)

It is my opinion that if the Rebels used this devise, it was through captured munitions. Mostly because there seemed to be a patent for this devise in 1862. The siege began in May of 1863. One writer noted that these munitions looked just like the regular mini ball. It is POSSIBLE that the rebels did not even know their booty was such a nasty weapon.