ASCII art is ready for take-off
PowerShell, 131 117 bytes



param($n)' '*$n+" |"
$n..1|%{" "*$_+"/$(' '*++$i)\";$x="*-$('-'*++$i)*"}
$x
,("| $('o '*$n)|")*$i
$x
" /$('_'*--$i)\"


Try it online!

Line breaks added for clarity, but they could just as easily be ; (it's the same byte count either way).

We're basically brute-force building the rocket one line at a time. We start by taking input $n, then construct a string of $n spaces and the nose antenna. We then loop from $n down to 1, using a triangular number trick with $i to get the appropriate number of middle spaces for the nose cone. Including the construction of the joiner into the loop allows us to re-use ++$i to both create the joiner and increment for our triangular number, saved into $x for later use.

We then use array-multiplication with the comma operator to construct the body of the rocket, then $x onto the pipeline again for the bottom. Finally we output the engine part with the appropriate _ in between.

All of those strings are left on the pipeline, and default implicit output gives us newlines for free.

-14 bytes thanks to VisualMelon.