I was thinking of having the aliens from mothership zeta as a potential vault incident triggered from broadcasting over the radio. however instead of stealing resources they will abduct your dwellers. Instead of being killed a dweller who is defeated by the aliens will be ""Stunned" and than teleported to the aliens ship. They will be experimented on loosing a few special points from random stats in the process. after a random amount of time they will be released and eventually wander back to the vault to tell of their horrible experiences (Insert humorous dialog about anol probing here).
for combat i would suggest they randomly teleport into a room give them enough damage to easily stun low endurance dwellers give them about as much health as a standard raider but limit them to only one or two abductions per cycle (they leave when this limit is reached) another alien attack will not occur until their experiments are concluded and the abductees have returned
(also they can drop alien blasters and such)