If you are shooting fireworks with any other lights in the scene, street lights, floodlight buildings etc, then I would set the WB for the lights, tungsten/incandescent. I used to set the WB for daylight if there were no other light sources in the scene, and the white fireworks are trying to replicate 'white light'. Now shooting in RAW it is not as critical, but it is nice to get as close to the correct WB anyway.
Try daylight and tungsten/incandescent, and see which you like.
I think you may get odd results with Auto WB imho, as it could get confused by the different colours.