All six dubbed Episodes still exist on Veoh, watch them all before The Man shuts 'em down.
Anyway, according to Wikipedia the woman who inflates and explodes is named Paam, and as far as I can tell ("Abstract" is one hell of an understatement when it comes to this show) she survived by copying her memories into the Protagonist's empty body (The Protagonist is jacked into the Hippo-looking stuffed animal body at the time) before engaging in freaky-deaky, not to mention fatal, sex-acts with "herself".
Also, the show is rather melancholy and at times downright depressing, quite a lot of death and tragedy that you wouldn't expect from a show with such a cute, cartoony style.
(
www.veoh.com, Search "Kaiba", slog through Yu-Gi-Oh content, hurry before they're gone)