Not just Mei’s ultimate can disappear mid air. All projectile ultimates can.
The reason why it disappear mid air is because of latency.
If Mei is stunned after the cast time (0.5 seconds):
If Mei is stunned after the cast time (0.5 seconds) with ~30 ms ping:
https://streamable.com/okfne
If Mei is stunned after the cast time (0.5 seconds) with ~300 ms ping:
I recommend you to read this thread:
[PROOF] Projectile Ults blocked by Lag
I went in full detail what causes disappearing ultimates and what affects it. I even use Mei’s ultimate as an example.