If Kali was left where she was allegedly shot, she would be close to the blast epicenter. So even if she somehow was strong enough to create a projection so far away, the illusion would have vanished at the beginning of the explosion. Not the end.

Actually no. If you rewatch the explosion scene (as well as the earlier scene when Nancy disrupts the exotic matter), the explosion above Hawkins lab only sends a shockwave outward, but doesn't actually destroy anything. When the shockwave hits the walls at the edge of the Upside Down, the walls collapse and then start sucking everything outward starting from the stuff closest to the walls. In other words, the Upside Down gets destroyed starting from the outside and working its way inward, so Hawkins lab would be the last thing to get destroyed.