Getting a round to pierce and then explode immediately afterward is rather difficult to do; most just settle for a set range that the enemy has to be at.
Perhaps an RPG where the round would gib into another round that would then do the piercing action... The only thing I can think of at that point is spawning the new explosive a few X values to the left or right and then having it blow up instantly, but again, that requires that it be fired from a specific angle. Of course, makng 2 explosives, one to the right and another to the left, would work quite well...
As far as I can see, it's possible, though not in the sense of an actual round penetrating into the rocket. Closest I can come up with is a round that spawns 2 other rounds upon impact, one to the left and another to the right (and perhaps another one upwards, or 2 more up at diagonals just to be sure) where the secondary rounds fire fast-moving, hard-to-see, extremely-short-lived projectiles in enough quantity to make the rocket do some crazy stuff. The gibbing probably wouldn't create quite the desired effect, at least not with the current rockets.
Who needs to think before you post? I do it on the way through
.