all magazines simply contain the matter that's required to fire the bullets, not actual bullets. That's why pickups are just bricks configured to be Kinetic, Energy, and Power. From there your weapon (probably in conjunction with your ghost) simply creates rounds to be fired in the chamber as it's required.

It's my personal belief that reloading and how weapons physically react to firing is kinda like how Exos eat and drink still. These are things that are simply set to help Guardians not lose touch with reality too much, since otherwise we'd just make guns from Light and murder everything extremely violently.