Trying to find other ways of creating Projectiles other than using a Mesh or even collision shapes.
line trace, or capsule trace. But then it is just collision capsule on actor, if you use it as collision detection.
You need actor to simulate bullet, then collision capsule to detect hit and overlapping etc. For that capsule trace would be just more expensive version of collision.
You can also calculate bullet trajectory when it is fired (because bullet becomes independent of player at that point) , generate array of locations or transforms. Then iterate through it over time, and use sphere trace around currently processed point.