When the rocket motor is switched off, you won't be able to control were your going(unless the rocket has reaction control system or ion engines).
Because in vacuum, you need to use force creating ibject or a control system that has an ability to be controlled or maneuvered so you can go any direction you want in space.
In my opinion it is due to electrostatic shielding
Inside a vehicle as well as a spherical material electric field is zero
So if we are inside a vehicle there is no chance of thunder and lightning to enter inside the vehicle