Merging binaries of compact relativistic objects (neutron stars and black holes) are thought to be progenitors of short gamma-ray bursts and sources of gravitational waves, hence their study is of great importance for astrophysics. Because of the strong magnetic field of one or both binary members and high orbital frequencies, these binaries are strong sources of energy in the form of Poynting flux (e.g., magnetic-field-dominated outflows, relativistic leptonic winds, electromagnetic and plasma waves). The steady injection of energy by the binary forms a bubble (or a cavity) filled with matter with the relativistic equation of state, which pushes on the surrounding plasma and can drive a shock wave in it. Unlike the Sedov-von Neumann-Taylor blast wave solution for a point-like explosion, the shock wave here is continuously driven by the ever-increasing pressure inside the bubble. We calculate from the first principles the dynamics and evolution of the bubble and the shock surrounding it and predict that such systems can be observed as radio sources a few hours before and after the merger. At much later times, the shock is expected to settle onto the Sedov-von Neumann-Taylor solution, thus resembling an explosion.