If philately is the collection and study of postage stamps and marks, then aerophilately is the collection and study of stamps carried by air carrier - airplane, balloon, or rocket. Rocket-aerophilately is thus the collection of rocket mail.
Rocket-mail is not uncommon in sport rocketry. Rocketeers often add postcards to their payloads to commemorate large events and projects. These are typically just postmarked and flown as souvenirs. Rocket mail has also been in the news. When XCORs EZ-Rocket made its historical flight from Mojave to California City, it carried several bags of mail. This mail was actual mail, not just mementos of the event. While this may set a record for piloted rocket powered vehicle, it by no means was a new concept.
In the August 2003 issue of High Power Rocketry, Bruce Kelly wrote and published an article on the history of rocket mail. According to records in the Air and Space Museum, the concept of rocket mail dates to 1870. A patent was issued to J.D. Schneiter who wanted to use "postal rockets" to deliver messages from inhabitants and troops in besieged cities. The first known use of rocket mail was, however, was in Niuafo'ou, Tonga in 1902. Here, the surf was often too strong to get mail ashore, so small rockets normally used to deliver life lines also delivered the mail. The first documented paid-dispatch rocket mail was flown February 2, 1931 when an Austrian named Friedrich Schmiedl flew 102 letters between villages in rural Austria. He flew a total of 31 postal rockets, but improvements in aviation and government regulations shut him down. Yes, regulations. It seems the current legislative plight of HPR is not new. The Austrian government dictated that rocket experimenters had to insure all property at the between the launch and landing sites, inclusive.
There were numerous attempts at rocket mail in the early 20th Century, which was not surprising since this coincided with the beginnings of modern rocket science. In light of the news about the EZ-Rocket's success, the reference I found most interesting was to an experiment by Willy Ley. Ley was born in Germany and was, along with Oberth and VonBraun, a member of the VfR (Society for SpaceShip Travel). With the rise of the Nazis, Ley emigrated to the United states. He was a prolific writer and helped popularize the idea of rockets and space travel through works such as The Conquest of Space. His idea was to use rocket planes to transport mail. Two prototype rocket planes were flown on February 23, 1936. The planes were 12.5' long with a wingspan of 15' and used flew on liquid oxygen, alcohol, and gasoline. Unfortunately, neither flew properly and he dropped out of the rocket mail business. Luckily for the sci-fi fans of the day, he didn't lose his interest in rockets.
Here is a link to a later post, which includes a reference to an exchange of rocket mail across the Rio Grande river between McAllen and Reynosa.
If interested, you might also check out Aerophil's Aerophilately Home Page, which features aerophilatelic & commercial aviation literature, air mail covers, first flight covers & air crash covers (the world's largest stock).