Yes, the DiJi does have a slight effect on its surroundings. It's not heat, but rather a sense of static electricity when it intersects with real objects.
vfxblog: Just finally on that sequence, did I notice, right at the beginning when they merge, that Mackenzie’s hair gets a little bit
affected by Joi?
Paul Lambert: Yeah, totally. Basically, we were showing Denis the sequence, and he wanted something a little bit more for when Joi first
enters Mariette. The idea was that, because she’s this analogue
electrically-charged kind of, I don’t know what you call it, something
which is messing with photons kind of thing. He wanted Mariette to
feel a little bit of a physical interaction from it, so basically, we
rendered some strand of hair, which rose as she touched her, just for
a bit of static.
Blade Runner 2049: going deep with DNEG
The script refers to her as a "static wisp" with some presence, but evidently no heat or true substance. Note also that she uses a focused form of static electricity to light his cigarette.
Joi “takes” his hand. Static heightened by the conductive
water clinging to his skin. She leads his hand to her waist.
As if to dance.
She leans in close to his neck. Her exhaled “breath” tickles
his lips. A smoky wet dream. He kisses her. She looks deep
in his eyes. K kisses her neck, slowly... not breaking the
illusion... The moment intensifies-- her breath escaping --