I've never used any factory made blanks in a shotgun, but I've shot numerous shotgun hulls which had only a primer in them with NO powder, wad, or shot.
With the primer only, you get a loud POP noise, but it's nowhere near as loud as a regular shotgun shell. To get more noise, you would have to load some powder in the shell along with a wad of some kind to keep the powder against the primer.
You might even have to load some very fine particles of some kind (sugar, flour, sand, whatever) into the wad's shot cup in order to build enough pressure to get good ignition of all the powder.
Yes, wads can be dangerous at close range...... particularly to the eyes. Never point the gun at anyone even if you're just shooting "blanks".