AA weapons are designed to fire defensively against an attacking enemy aircraft, and may therefore shoot immediately after an enemy aircraft formation makes an approach move but before it makes its attack.

A formation on combat air patrol may choose to carry out an interception action in reaction to an enemy ground attack. ... It takes place after the enemy ground attack formation has made its approach move, but before flak is fired at the ground attackers or they make their own attack.

I'm pretty sure that has to be how it works?

Q: A formations of Ork Fighta Bommers attacks a formation that has a Hydra attached to it. The Fighta
Bommers are also intercepted by two Thunderbolts. What is the order of fire for the Thunderbolts, Hydras, Fighta Bommers AA and Fighta Bommers ground attack?

A: Each formation is allowed to make its Flak attacks after each new air unit has finished its approach move. The attacks would then be resolved in the reverse order that they were initiated following the rule of approach, flak, attack. So the Fighta Bommers would get a Flak attack at the end of the Thunderbolts approach move, the Thunderbolts would get their air attack, the remaining Fighta Bommers would then take fire from the Hydras and then the Fighta Bommers would finish their ground attack.
The order of aircraft and flack attacks is summarised in the following table:
• 1. Attacking air units activate and move into position.
• 2. Defending player may "un-CAP" up to one aircraft formation on patrol and move it into position.
• 3. Attacker's unit ground flak fires at CAP (if applicable).
• 4. Attacking aircrafts' defensive AA fires (i.e. not just ground flak)
• 5. Defender's ground flak fires at attacking air units (if applicable).
• 6. CAP formation fires at attacking air units (if applicable).
• 7. Attacking air units perform ground attack or assault.