Can air to air refueling can be done in the rocket engines as done in the Aircraft jet engines?
It depends if you are asking about rocket ships or rocket planes. On any note, its unlikely in the lower atmosphere, but in orbit, quite possibly. 

There are a few issues you may encounter, 


Some rockets use solid fuel which cant be pumped from one tank to the next so you would not be able to refuel on the go. 
As @TomMcW mentions in the comments most rocket engines also carry oxidizer which you would need to pass over as well, doubling the volume you normally need to pass 
Most rockets use liquid oxygen which is stored at very high pressures, you would need to not only have another craft carrying a specialized tank but a way to transfer the oxygen in the proper state. 
You would need to transfer the fuel with out causing a pressure issue that lead to cavitation in the engine. During the design of the Saturn V Engines pressure variances in fuel flow caused serious cavitation issues and even lead to the loss of a test bed engine. While this problem was inevitably solved, the solution (as far as I know) does not account for pumping into the tank during operation. 
Rockets move fairly fast and also roll on takeoff so some sort of connection mechanism would need be quite complex. Matching speeds is less of an issue than having something revolve around another object that is rotating on an axis.  
Most rocket planes operate above the celling of practical refueling aircraft. 


Frankly there is little practical reason as most rocket planes don't really need to refuel. Historically rocket planes like the Bell X-1 or the X-15 were built as test beds to push speed and altitude limits they carried the fuel they needed, burned it, broke the record, and glided home using histories oldest engine, gravity. 

Refueling spacecraft has not proved to be a need yet as we have been able to successfully escape earth orbit on a single tank of gas. Building a rocket in space and sending it off has been theorized but there no examples of that yet and in that case you could ferry fuel up in small loads and deal with the docking in orbit.  

Once in orbit docking two craft is fairly straight forward, then just connect the fuel lines and pump (presumably with out the engines running)...