The first astronaut to see a UFO while in orbit was Major Gordon Cooper, during the marathon Mercury flight mission of 21 orbits in Faith 7 (May 15, 1963). While making his 4th pass over Hawaii, Cooper claims he heard weird voice transmissions which he called an "unintelligible foreign language." The fact is that this transmission had cut in on the VHF channel reserved exclusively for space flights. There is no evidence that any nation on Earth violated that international agreement. Tapes later proved that the sounds were not those of a foreign language of this planet but those of a tongue completely alien to Earth. Although language experts for NASA have replayed these tapes over & over, they simply have not been able to analyse it.
On his final orbit of Earth in Faith 7, while over the Muchea Tracking Station near Perth, Australia, Cooper saw a weird-looking object approaching him. This UFO was also seen by over 200 people at the tracking station. Cooper described the object as being of "good size," and claimed: "It was higher than I was. It wasn't even in the vicinity of the horizon....." This indicated that the bogey (NASA's slang term for UFO) was not a star or other object, either natural or manmade. Afterward Cooper stated bluntly in the book "We Seven": "I also had the idea there might be some interesting forms of life out in space for us to discover and get acquainted with. I don't believe in fairy tales, but as far as I'm concerned there have been far too many unexplained examples of unidentified objects sighted around this Earth to rule out the possibility that some form of life exists out beyond our world."

Apparently this is untrue. At least, that's what one expert said on the Art Bell show. That expert actually believes in extra-terrestrial life, and has seen what he thought was a UFO at one time. But he says unequivocally that this particular reported incident is
"totally untrue".

And since that expert is Gordon Cooper, I think I have to take his word for it.

"Cooper flatly denied the long-standing claim, repeated over the years by various authors including UFOlogical saints Allen Hynek and Jacques Valley, that he saw a greenish object with a red tail move past his Mercury 9 spacecraft in 1963.

"No, somebody made a lot of money selling … lies on that one," Cooper, the sixth American in space, told Art Bell on the syndicated "Coast to Coast" talk radio show Thursday night. "It was totally untrue, sorry to say."

Taken from This Link.