No, but it's not a valid target for Lightning Bolt either.
If it's not a permanent, it's not a valid object for a sacrifice payment.
701.14a To sacrifice a permanent, its controller moves it from the battlefield directly to its owner’s graveyard. A player can’t sacrifice something that isn’t a permanent, or something that’s a permanent he or she doesn’t control. [...]
If it's a spell, it's on the stack, it's a not on the battlefield, and it's not a permanent.
110.1. A permanent is a card or token on the battlefield. [...]
111.1. A spell is a card on the stack. [...]
111.1a A copy of a spell is also a spell [...].
For example, suppose I cast an artifact creature spell, and my opponent responds with an instant that would kill it (like a Lightning Bolt).
He can't do this. It's not a creature until the spell resolves to become a permanent. The same reason preventing you from sacrificing it to the Atog (not a permanent yet) is preventing him from targeting it with Lightning Bolt.
109.2. If a spell or ability uses a description of an object that includes a card type or subtype, but doesn’t include the word “card,” “spell,” “source,” or “scheme,” it means a permanent of that card type or subtype on the battlefield.
He has to wait for your artifact creature to resolve. (In fact, it's presumed he did if he casts Lightning Bolt targeting it.) In response to him casting Lightning Bolt, you may activate your Atog's ability using your new creature as the sacrifice.
Compare Lightning Bolt with Bone to Ash.