Only the large UFOs will have 2 part missions, I believe. And the mission briefing screen should tell the player that the mission is 2 parts.
After thinking about it a bit, I don't think 2 part missions will be that bad or lose that much tension, if at all. I remember playing UFO: Aftermath, which had 2 part missions for UFOs and it was very claustrophobic being trap in that alien tin can.