Great idea. I think Xenonauts has this done, but I haven't checked on that project for over a year. I only know that fighters can escort the Chinook, because aggressive UFOs can harass any of your aircraft.
Would be nice to see this in X-COM, but I think it's too complicated. So I suggest this is an easier way to implement the fighter escort feature. If you add an interceptor with your Skyranger, then when a UFO attempts to hit your Skyranger, the UFO will engage the Interceptor. If you lose, both aircraft go down. If you win, you keep going.
If they're small fighter UFOs, when they crash land, then let the alien pilot die and automatically pick-up the remains when your Skyranger touches it, with a score screen letting you know what you were able to salvage.
You should be able to rescue your squad if your Skyranger gets shot down by a UFO. I'd be upset if I lose everyone from a surprise attack while flying over to a Mission. Especially if I didn't know about this new feature.