The worldsheet is a 2d manifold $\Sigma$ and the coordinates $X : \Sigma \to\mathbb{R}^{26}$ are an embedding that identifies it as a submanifold
@Charlie I think you're trying to imbue the mathematics with a bit too much ontology here
Maybe an analogy helps: When we consider a curve in a manifold, the curve is not just "a submanifold of dimension 1", it is an embedding of the abstract manifold "the unit interval" into the manifold, i.e. an embedding $\gamma : I \to M$. Likewise, a worldsheet is an embedding of a 2d manifold into another manifold
you wouldn't ask "why are we treating the curve as an interval that's not sitting in spacetime", would you?