Well, maybe it will help to think of it less as actually sinking something into our body and more as turning ourselves into a Zip-Loc marsupial. The former is admittedly very dangerous, yes, but the latter seems decidedly less so, unless we decide we want to store some knives or our trident or something equally pointy.
To be honest I hadn't even considered the possibility of trying to flat-out sink something into us. I never really considered Nue as a blob with how her abilities have been described to us, even given we get to ignore topological rules if we want it hard enough.