Polymorphine states that when a Callidus assassin arrives from reserve to choose a unit, and that unit suffers D6 S4 AP2 hits. It doesn't say anything about the unit having to be outside of combat, or a legal shooting target. The FAQ specifies how to handle the callidus popping out of a squad and wiping the squad out, or how to pop out of a vehicle, but nothing is mentioned there about close combat either.

Can a Callidus Assassin pop out of a squad that is currently locked in combat, and deal his/her/its free D6 hits?

If so, can the squad claim a cover save if the combat is not in area terrain? The assassin is not on the board (in effect, he/she/it is in the midst of the squad itself), so there's no way to determine if the other unit(s) in combat are actually intervening models.

Can a model with an additional save "in close combat" such as a wych's dodge, a nemesis force sword, or the Swarmlord's parry, be used against the free swings?

After applying the damage, can a Callidus assassin arrive by deep strike without scatter in a location that would intentionally force a mishap, and just roll on the mishap table? (I don't see this being a good idea often...)