Is it because your in his throne world or what?
Edit: THANK YOU SO MUCH to everyone who helped me get this info(some of it is copy and pasted so don't sue
The shadows of oryx were the black oryxen (plural?). The oryx killed in the last mission was actually him in normal form, then he uses the sword to become taken oryx (hence the demonic giggle like "come get me now! Hehe) before he disappears to the throne world.
And in his throne world, he can show his true form, which is a God, hence why he is so gigantic. But in the raid, you don't actually kill him. What you do is destroy his worm. Once you do this, he becomes a mortal, and so, when in space he boils, freezes, then proceeds to explode.
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Because that's his final form