The UFO is located at the height limit for airplanes, directly above the Beam Me Up sculpture. Like the other UFOs, this one does not move from its location and just floats in mid-air. It bears the same design as the Sunken UFO Wreckage and the UFO at Mount Chiliad (as well, as the UFO used is in some cutscenes within the game,) but it is a physical object within the world. The UFO has the letters FIB imprinted on its side, referencing the Federal Investigation Bureau.
The player cannot get near it with an aircraft, because the UFO emits an electromagnetic pulse (EMP), which shuts down any vehicle that the player is in. The player can parachute from an aircraft and glide near the UFO, but attempting to land on it will result in the player getting flung in the opposite direction with great force, losing nearly half of his health in the process.
Hence, It is currently impossible to enter the UFO via normal gameplay.