Latest experimental patch, hard, oddity, new vanilla game (no cheat engines or such).
Just had the same thing happen. Only it was not me, it was Gorsky!
I was at the GMS compound, at the first mission to find the keycard for the buttower storage room.
I lured the rathounds over to the SGS squad, to get help in taking them out.
Gorsky walked up and threw a frag grenade at the last rathound, only... poof! The grenade never exploded, it simply vanished into thin air.
I am pretty sure the animation was there, I heard a "click" as for arming the grenade, and saw it fly through the air.
It seemed like it was thrown at a tile near a wall.
(I have combat animation speed and combat walking speed set to 200%/250% in the option settings, if that matters.)