How did the Etecoons and Dachoras (the animal friends who teach you techniques) escaped from the exploding Zebes?
Same way they escaped the station in Fusion: stowing away on Samus' ship.
That's not possible, because when you rescue them, in the explosion scene you can see the single pixel flying off to the side. I think the real question is how they can drive spaceships in the first place?
It is implied that they are more than just animals.
There are two possibilities. Either A: They managed to get the Wrecked Ship spaceworthy (Not a stretch, considering they can assist in operating a ship in Fusion, and most of the ship's functions actually come back to life once Phantoon is defeated), or B: They hitched a ride on Dachora, who shinesparked off of the planet (how they did this without the shinespark harming them or Dachora's egg isn't clear, however it is at least implied that Ridley can travel in the vacuum without a ship, so maybe they can as well.)