Lebanese news outlet Al Mayadeen reported that the Saudi-led coalition was responsible for the strike.
The Yemen security department said in a statement on its official website on Facebook that Al-Bakhshi refused to surrender and fired on the security forces which resulted in the death of a soldier and injuries to two others from the Yemeni anti-terrorism forces.
Yemen's Houthis staged a large-scale funeral for their two leaders who killed in a Saudi-led.
The coalition has carried out thousands of air strikes in Yemen that have hit schools, markets and hospitals, killing hundreds of people, though it said it does not target civilians.
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As ambulance crews and police responded to the scene they were told that there were two people down and that blood was everywhere. Chapman had recently started a new job at Villanova University as assistant vice president of marketing and creative services.
An honour guard and senior officers stand by the body of slain Houthi leader Saleh al-Samad during his funeral procession in the Yemeni capital Sanaa.
Saudi Arabia said it had intercepted four missiles and that one man had been killed by debris.
Houthi supporters gather near the site of burial of Saleh al-Samad.
The attacks came as newly appointed US Secretary of State Mike Pompeo was scheduled to arrive in Riyadh for talks that are expected to include discussion of the conflict in Yemen, in which almost 10,000 people have been killed since the Saudi-led alliance became involved.
A Saudi-led military coalition is trying to restore Yemen's internationally recognised government that was forced into exile after the Houthis took over large parts of the country in 2014 and seized the capital Sanaa. The blockade has since been partially lifted, but access to the impoverished country remains limited.