The most efficient way to propel is to add a little bit of energy to a lot of mass. A propeller works well for an airplane that flies slowly in a dense atmosphere, where a large mass of gas is available to be accelerated a little bit. At higher altitudes, where airplanes must fly fast to develop adequate lift, jet engines gather less atmospheric gas, but accelerate it much more. When the atmosphere is very thin, only the on board propellant is available to be accelerated, and the exhaust velocity is very high indeed. To increase the thrust, a device called an afterburner is sometimes built into the engine.
Fuel is dumped into the hot exhaust gas coming out of the nozzle.
This causes another controlled explosion. This makes the air even hotter which adds more energy to it. This increases the thrust. This is not an energy efficient method. So it is used only for brief periods when extra thrust is needed.