How dangerous are disconnected bulging batteries?
I don't know, and I suspect there are not any solid numbers that will answer your exact question. If it's bulging there is clearly pressure inside, but the risk is not obvious. However, there is a way to make the battery less dangerous. 

The worst that it can do is burst into flames. You can find videos illustrating pretty much the worst that is possible. 

So keep the battery in a place where, if that ever occurred, serious consequences would not result. For example, inside a metal box of some kind with no flammable materials nearby. Don't store it in a cardboard box on a shelf full of papers, for example, rather treat it more like a thin vessel filled with gasoline or a container of gunpowder. 

By the way, lithium cells are not allowed to be shipped by air in a good many instances, so this kind of thing tends to take longer than you might otherwise expect.