Burj Khalifa set a Guinness World Record for the tallest fireworks display during Dubai's New Year's Eve celebrations in 2015.
Dubai welcomed 2015 with fireworks and a large multimedia presentation centered on Burj Khalifa, the world's tallest building. Guinness World Records recognized the display for the tallest fireworks display, because the fireworks were staged along the height of the skyscraper rather than only at ground level.
The event combined pyrotechnics, lighting, and projections across the tower's exterior. It was designed as a broadcast spectacle and viewed by large crowds around Downtown Dubai. The record described the height of the display, not the total number of fireworks or the building's general height record.
Burj Khalifa opened in 2010 and rises 828 meters to its architectural tip. Dubai has staged other ambitious New Year's productions since then, so records and show designs should be tied to their specific year. The 2015 record is the fact identified by this question.