Because of the way they're made, I'd assume that any intrusions in them wouldn't impart them with the same properties - or in fact wouldn't form right at all and would just crack.

I can't imagine encasing a liquid in the Pr. Rupert drops. Solids, with higher melting temperatures than glass, no problem. You could put a nasty broadhead arrow inside a drop (in principle), which would expose the barbs when the glass disintegrates. They'd have to leave the arrow in rather than risk removing it. Of course broadheads are already pretty unpleasant to imagine...er, um...receiving.