The ongoing coronavirus disease 2019 (COVID-19) pandemic has had a significant impact on patients and healthcare systems across the world. Distinguishing non-COVID-19 patients from COVID-19 patients at the lowest possible cost and in the earliest stages of the disease is a major issue. Additionally, the implementation of explainable deep learning decisions is another issue, especially in critical fields such as medicine. The study presents a method to train deep learning models and apply an uncertainty-based ensemble voting policy to achieve 99% accuracy in classifying COVID-19 chest X-rays from normal and pneumonia-related infections. We further present a training scheme that integrates the cyclic cosine annealing approach with cross-validation and uncertainty quantification that is measured using prediction interval coverage probability (PICP) as final ensemble voting weights. We also propose the Uncertain-CAM technique, which improves deep learning explainability and provides a more reliable COVID-19 classification system. We introduce a new image processing technique to measure the explainability based on ground-truth, and we compared it with the widely adopted Grad-CAM method.