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In recent years, large-scale numerical simulations played an essential role in estimating the effects of explosion events in urban environments, for the purpose of ensuring the security and safety of cities. Such simulations are computationally expensive and, often, the time taken for one single computation is large and does not permit parametric studies. The aim of this work is therefore to facilitate real-time and multi-query calculations by employing a non-intrusive Reduced Order Method (ROM). We propose a deep learning-based (DL) ROM scheme able to deal with fast transient dynamics. In the case of blast waves, the parametrised PDEs are time-dependent and non-linear. For such problems, the Proper Orthogonal Decomposition (POD), which relies on a linear superposition of modes, cannot approximate the solutions efficiently. The piecewise POD-DL scheme developed here is a local ROM based on time-domain partitioning and a first dimensionality reduction obtained through the POD. Autoencoders are used as a second and non-linear dimensionality reduction. The latent space obtained is then reconstructed from the time and parameter space through deep forward neural networks. The proposed scheme is applied to an example consisting of a blast wave propagating in air and impacting on the outside of a building. The efficiency of the deep learning-based ROM in approximating the time-dependent pressure field is shown.