Please give us more information. Which game are you playing? X-COM: Enemy Unknown, X-COM: Terror From The Deep, or one of the newer titles? If one of those two, are you using the original DOS engine or are you using the GOG data with OpenXCom? If OpenXCom, what version and are any mods enabled?
Is the mission launched from a base with an Alien Containment structure? How do you know you stunned the Commander alien? Did you verify that its body survived the mission? If an explosion occurs too close to a stunned body, the body will be destroyed and the alien will not be recovered. Similarly, are you sure the Commander stayed stunned, rather than waking up and being killed by your troops (possibly during reaction fire)?
I'm playing X-com: enemy unknown, and using gog version of the game. I have alien containment. First time when I've got Psi-Amp and the Small Luncher with stun bombs I have gathered group of aliens: 2 X navigator and 2 X soldier. They were under mind control, then I have shoot them with stun bomb. Two of them collapsed, and my second soldier had to shoot again, becouse navigator was still standing. After the shoot all of the aliens was on the ground. Mission ended next turn, and on the mission debriefigng screen, I've seen only alienst that I've killed earler. Shoudl be 2 dead and 4 stunned, but message sed only 2 dead, like the other 4 was never there.
Never had this bug, even on Amiga version.
Sorry for my english, its not my first language.
I think I found a solution to your bug, which I also had now but never before in my other playthroughs.
I was having the same problem, mind controlling Commanders, stunning with Stun Bombs, but never getting the research of "X" Commander
in the Research screen. I built 3 additionals Alien Containments (had 1) and researched all the alive aliens I had, but still nothing.
After reading your post, I decided to try something different, just stun them instead of mind controlling first, and IT WORKED.
I think the game ignores them once you mind control THEN stun. I hope this helps you.