A small probe, like the P6021 (which I own [0]) is pretty small. The transformer itself is tiny; there is only a small PCB in the handle with some frequency compensation. (However it is said that these are difficult to manufacture - more so for their Hall-enhanced partners - due to the precisely ground halves of the core).

The bigger probes that are meant to go on bare, live bus bars and such are probably mostly air to give the operator the required safe handling distance... probably not an issue for a clip-on probe that goes on insulated wires?

[0] Technically a P6021 sold to Philips who bundled it up with a matching amplifier of their own design.