That's more or less the case with the Chelyabinsk meteor. It came in fast at a grazing angle, heated up, and exploded.
After seeing the flash, the Russians were outside with their cameras panning back and forth at the level contrail. Then the shockwave hit, knocking out windows and setting off car alarms and barking dogs. The delay between the explosion and the shockwave arrival indicates it was way up there when it exploded.
You can see an annotated collection of videos here: http://say26.com/meteorite-in-russia-all-videos-in-one-place
If the meteor was really a failed launch, then when it is burning up in the atmosphere, it would be pointing directly at the center of the Earth, as you can kind of see in the first picture.
The second picture is a trajectory of today's near asteroid approach. If you can imagine the Earth in that picture being a bit bigger, and the atmopsphere surrounding it too, you can imagine a path that would take the asteroid through the atmosphere, but not necessarily crashing into the Earth, or pointing at the center of the Earth. If you were standing on the Earth at the closest point to it, you might see it come down, burn in the atmosphere, and then go right back up and out of the atmosphere.
Watch the video in my post #14.