Sadly Its not a bug, looked into it, its designed that way.
"Dashes
Projectiles (autoattacks or abilities) that are mid-flight when the character starts dashing will hit when the dash completes. They still take damage from DoTs while untargetable and all CC is delayed until the ability finishes casting.
Maokai Maokai's Twisted Advance.png Twisted Advance makes him untargetable while moving to the target.
Master Yi Master Yi's Alpha Strike.png Alpha Strike makes him untargetable for a short time while in flight.
Zed Zed's Death Mark.png Death Mark makes him untargetable while moving to the target.
Rek'Sai Rek'Sai's Void Rush.png Void Rush makes her untargetable while moving to a targeted Tunnel.png Tunnel."
From the wikia.
http://leagueoflegends.wikia.com/wiki/Untargetable