The incident was reported yesterday. It is suspected that the cylinder was leaking and it caught fire and exploded as one of the victims was smoking near it, they said.
Ramdev Kushwaha was killed while his brother-in-law Lakhan and a passerby Wahid were injured.
Kushwaha, who had recently started supplying oxygen cylinders to nearby nursing homes and clinics, yesterday was taking out a cylinder out of his shop when Lakhan noticed a leak, the police said.
He tried to take the cylinder to an isolated place, but it exploded injuring him, his brother-in-law and a passerby, identified as Wahid, they said.
The police is yet to take their statement. It is suspected that one of them was smoking. It is also being probed whether there was leakage due to the manufacturer's negligence.