Some anomalies can be bugged in this way, but usually the artefact will pop up to ground level eventually. Artefacts that float up into the sky can usually be shot down, but as you have found out this doesn't always work.
I find artefact cooking to be much easier if I create my own set of anomalies in a convenient location close to my artefact stash, using the anomaly capsules that Adrenalin and other traders sell. This way I don't have to chase across several maps to find the specific anomaly that I need for a recipe, and I can easily check each anomaly with the Transmutator to see which recipes I know. I still get the occasional artefact spawning underground or floating in the air, but they are almost always recoverable.