What should I do with an exploding offer while another dream interview is still pending?

First, congratulations and well done. You should be ecstatic!

Second, I think you should 100% be taking this offer - worry about the rest later (but it's good to consider this). A bird in the hand is better than two in the bush.

If McKinsey is your #1 target (i.e. you are 100% sure you would take their offer over anyone else's), then you need to decide where your morals lie. If you decide to not interview, you've done the "right" thing. If you decide to interview, you're done the right thing for you.

This is something I do not condone, nor would I do it myself (at my stage in life I would never ever go back on my word, written or verbal). That being said, early on in one's career I do understand one's motivations to take this gamble if they so choose - your hand was in a sense forced here.

Good luck!