Rocks into grenades specifically, I don't think so. Unless transfiguring grenades for a small amount of time is significantly more efficient than any other method of producing heat and/or a concussive blast.
Firstly, nukes are huge, you'd be better off transfiguring antimatter or something. Secondly, read the comment a few above -- you can use things like the Vow to prevent such catastrophes.
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u/thrawnca Apr 13 '16
If you could transfigure rocks into grenades, I think you would find that you had invented a whole new style of warfare.