This is such a stupid waste of time and money that if you had told me it was a government program, I might've believed you.
>Would it be possible
Yes. I think the OICW program might've planned something similar for that abomination they called a rifle back in the late '90s, but I'll have to check. I know they had a "smart" airburst grenade planned; that much I'm sure of. You could even have multiple of those imbroovd :DDd charges from your picture arranged radially around the long axis of the 'nade so that the OPERATOR could set them to go off selectively in any direction.
But there's a problem with all this. Two, actually. For one thing, you're cutting the effective yield of the weapon to some fraction (say 1/4, for instance) of what would otherwise be achievable for a given warhead volume (a fairly limited one, at that); and second -- and more importantly -- there's really no advantage to doing so, because in any instance where it would really be necessary, you wouldn't be using a 203-like weapon in the first place because it would be danger close for friendlies or noncombatants or whatever.
TL;DR Yes, but there's a reason no one's done it (that I know of).
>attach a claymore with a drogue parachute attached to ensure the correct orientation
See above, basically. Also, drogues don't prevent payload twisting in the wind, and at that point you might as well just use a top-attack directional charge like your image anyway.
Sorry to rain on your parade, BTW.