Many players are interested of this question, because the developers left some evidences which said about the presence of UFOs in the game. The most striking example of this is bar, which is located near Zone 69. The walls inside it are hung with pictures of aliens.
As you see, there is evidence of this, but there are no eyewitnesses to this. But if you want to drive the UFO, you can download and set up the special mod. After that one of the helicopters will be replaced by an UFO, and you can ride it.