I just went with digital for the collection so can't really give a concrete answer, but, all 3 games are only about 13 gig total so it'd be kinda weird if they weren't on the disc. There are multiple threads on gamefaqs about the physical release and I didn't see a single post about the games not being on disc, so that sounds weird. I assume at least one person would make a big deal if it was the case. Could ask there if you have an account and no one else here can answer.
Oh and one last thing I'd point out, all 3 games are different apps (which is pretty weird for this style of collection) so even if all 3 games were on the disc your PS4/5 download list would give you notifications that it is installing all 3 games separately.
Thanks. This makes more sense. Sounds like the disc might require one to just install eacg game on their HDs to play. There are other PS4 games that do this so unlike what another user said, it shouldn't mean you need an Internet connection.
Now of course one would need that for patches, but I tend to just play without them so long as they're not game breaking which should be the case here given these are just ports of old games.