The Flying Sheep Saucers first appeared in Metropolis, where Spyro used a combination Powerup to chase them down and destroy them. The Flying Sheep Saucers were part of the space-themed farm animals tormenting Metropolis, who are said to come from "the farms" (probably Robotica Farms).
Flying Sheep Saucers reappeared in the Forgotten Worlds. In this game, they show up in every Speedway and are fought off by Hunter. In Mushroom Speedway, Hunter shoots a fleet down with his bi-plane, in Country Speedway, Hunter uses his jetpack and ray-gun to stop the sheep saucers (alongside some Space Cows) from abducting farmers, in Honeycomb Speedway, one chases Hunter's boat down the honey river, and in Harbor Speedway, Hunter uses his glider-wings to chase down a saucer that crash-lands with a dragon egg. They also appear in the Super Bonus World, where Spyro must once again use a Combination Powerup to destroy them.
In the opening, Hunter is frightened when he confuses Zoe's balloon with a flying sheep saucer (likely stemming from his ordeal with the saucers in Year of the Dragon).