Is it possible to stop the Madman from escaping his yacht?
Welcome to one of the trolls in Desert Strike. The madman will always escape and you will always lose 500 points. This troll is just to make the player angry and to constantly retry.
On Sega's wiki it gives you a list of objectives in Mission #3. Notice how it doesn't say anything about possibly killing the madman. As you said earlier it would make Mission #4 impossible to understand.