I always just imagined that a UFO landed, dropped off aliens, and left again. Also, I'm with Chris here, we don't need more UFO assaults in Xenonauts.
As a compromise, maybe you could have a UFO fly to a city to initiate the terror mission for then to fly away, and you have a chance to intercept it before it goes back into space .
Edit: I liked the idea somewhere in this thread to have a large building to clear, SWAT-style, but I think that'd work better as a separate type of terror mission. As long as the devs can implement it in a good way, of course. The ship missions in Terror from the Deep were certainly not popular.