Our reality IS his personal dimension, or at least the section on board the Dreadnaught is. That's why he is vulnerable. Ascendant Hive outside of their throne realms are functionally immortal, Oryx was wounded by us because he made the Dreadnaught his throne world. That's what the big sphere of annihilation weapon is; the Dreadnaught allows Oryx to temporarily extend his throne world outwards, with the conflicting dimensions tearing apart anything it hits on the way out.