COMMUTER SMT HAD THE EMERGENCY EXIT COME OFF WHILE IN CRUISE AT 1000'.

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DURING A SCHEDULED FLT FROM HNL TO MOLOKAI; I WAS CRUISING AT 1000' WHILE IN THE TCA. ABOUT 10 MI E OF KOKO HEAD VOR; I HEARD A LOUD HISSING NOISE. I CHKED THE PLT'S AND COPLT'S SIDE WINDOWS TO SEE IF THEY HAD OPENED. THEY WERE NOT THE CAUSE OF THE NOISE. SUDDENLY THE EMER EXIT DOOR BLEW OUT. I THEN INFORMED HNL APCH CTL THAT I WOULD BE RETURNING TO THE ARPT UNDER EMER CONDITIONS. HNL APCH CLRED ME DIRECTLY TO THE ARPT. I CHKED TO SEE THAT THE PAX WERE ALRIGHT AND ASKED THEM TO CHK THEIR SEAT BELTS. I SLOWED THE ACFT TO 120 KTS TO SLOW THE FLOW OF AIR RUSHING INTO THE COCKPIT. THE APCH AND LNDG WERE NORMAL IN HNL. THE EMER EQUIP WAS STANDING BY AS A PRECAUTION. AFTER LNDG I TAXIED OFF THE ACTIVE RWY TO A TXWY AND SHUT DOWN THE ACFT TO CHK THE EXTERIOR OF THE ACFT. THERE WAS NO DAMAGE TO THE ACFT. I THEN TAXIED THE ACFT TO THE HANGAR FOR MAINT TO CHK THE ACFT. THE MAINT DEPT THINKS THE PIN THAT HOLDS THE EMER EXIT IN PLACE WAS NOT SEATED PROPERLY. MAINT REPLACED THE EMER EXIT AND RETURNED THE ACFT TO SVC THE NEXT DAY. I THINK A FUTURE OCCURRENCE OF THIS TYPE COULD BEST BE AVOIDED BY HAVING MAINT REMOVE AND RESEAL THESE EXITS PERIODICALLY.