This is, in fact, what marks the difference between EWIs and their acoustic cousins.
The sound an EWI produces are actually pre-recorded notes that are stored in, and controlled through, the sound module.
The sound module is where most of the magic happens.
What we commonly refer to as the EWI is, to use the technical term, just the controller. It controls sounds in a compatible sound module, which is a standalone device you have to plug in independently.
The EWI should be looked at as two parts, the controller and the sound module, with the controller serving as the user interface.
Yes, it is basically just a controller that produces sound in the same way a typical MIDI controller does.
But its design and interface allows for a greater level of expression and feels far more natural for wind instrument players. An EWI emulates wind instruments far better than any other controller can.
However, there are some EWIs where the two are combined into one compact instrument. These are EWI controllers with built-in sound modules.