I think your ship begins to slow down like in Kerbin's Atmosphere, and your ship doesn't actually blow up until you meet the green part of the planet, which is when the pressure causes your ship to implode.
That sound awesome! If everything's not set in stone I'd love to see a moon with a moon. The parent moon would probably have to be far away form the planet. It would also be a fun challenge to try to land on the lesser moon.