I think you have the wrong idea of terminal velocity. If an object falls through the air, then the faster it falls the harder the air pushehes against it, slowing it down. So suppose you jump out of a high aircraft. You fall faster and faster as gravity keeps pulling you downward. But gravity pulls with roughly a constant force (for the purposes of this discussion, never mind any argument over whether it is a force or not), so as your speed reaches 50 to 100 metres per second, depending on several factors, the force of the air slowing you down equals the force of the gravitation speeding you up (well... up... down... you know what I mean!) the result is that whatever is the balancing speed, that is the speed you reach in falling through the atmosphere at that altitude and attitude etc. That is what we call your terminal velocity. (We use the same term for other things as well, but the term is most commonly used for this concept.)

Now, suppose you had a little rocket with you, not powerful enough to lift you. On your way down you ignite it and point the jet downwards. This would slow you down even further, and your terminal velocity while that rocket worked would be lower. If you changed your mind and turned the rocket round, your terminal velocity would be higher and ultimately more terminal no doubt.

Exactly what the terminal velocity in each case would be, would present a complex and probably academic problem, but one thing you need never puzzle over would be what happens to the energy; it will be conserved in all cases.