Auroras (Alphas too) are 100% invincible before dropping their bombs. However, they do become vulnerable for a few seconds when they receive new commands, regardless if they are carrying a bomb or not. Personally, I think that the Aurora should be invincible while returning, not going to drop its payload. But that's just me.
EDIT: Sorry, this isn't 100% true; any superweapon/generals weapon or weapon in general that drops onto the GROUND and also has an air explosion can damage or kill them, regardless of state. EMPs can too, but ONLY the ones dropped from aircraft, not the missile ones.