While I was lying on my bed thinking in various things about engineering I thought this situation:

Imagine there's a water tank (not full [almost in the half of the tank]). If we heat the water inside the tank, the water will turn into steam and perform a pressure at the tank walls and it can explode due the high pressure (there's no escape to the water). But what happens with the steam when the tank walls are lined with hydrophobic material, the tank will even explode due the pressure?

Yes the pressure wouldn't be affected by the hydrophobic walls. The pressure calculations don't care what the container walls are made out of. The different materials have different properties that may allow them to resist higher pressure. However that has nothing to do with what is causing the pressure.

I'm not sure that any material is actually hydrophobic.

The reason that water runs of greasy surfaces is not that it is repelled by the grease but because it's more attracted to the water.

It's actually attracted to the grease too, but much less so.