I have seen a couple of times that shots from Machine Guns/Scatter Laser/etc. can go through walls, and even suppress people and aliens on the other side of walls.
http://images.akamai.steamusercontent.com/ugc/710784131785989295/D4A69B590FE2D062CB7829D43EBD09AAA5837F30/
Guy with scatter laser near the door to the right shoots the Ceasan - damaging and suppressing both the alien and my specialist on the other side of a wall.
http://steamcommunity.com/sharedfiles/filedetails/?id=401005607
The selected machine gunner shot and killed the alien near the wall, suppressing the unit to the right, on the other side of the fence.
In both instances, the walls were undamaged, but the shells and their effects went right through.
Unfortunately I don't have saved positions for either of these events, closest ones were several turns away. But I think it should be pretty easy to reproduce (I've seen it 4-5 times during my 35+ hour time with the game).