Cortana's voice comes from the radios. She's left her body behind on Legion World, where it is presumably scaring the daylights out of any unsuspecting custodial staff who let themselves into her quarters. Her purpose in this fight is purely digital. A body would just be a distraction.

"Try to minimize accidental explosions." Is that a slight emphasis on 'accidental?' Eh, probably everyone's imagination. "No incendiaries."

She told you, Tadashi. She told you this mission was not going to play to your strengths.