Since the new update I've had an issue with the very first mission. As I get to the small orange dust tornado literally 10 seconds into the mission (image linked) my PS4 instantly turns itself off. No error message, no error light on the console, nothing. It also refuses to turn back on for some time after.
My PS4 is perfectly fine and has no issues with any other game, is well ventilated etc. I've also completely uninstalled and reinstalled Destiny 2, still not working.
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This is happening to me too. Every time I attempt the first mission, my PS4 Pro goes nuts and completely turns itself off. I can briefly see a message that says it’s overheating. My PS4 Pro is less than a year old and I’ve tried cleaning it to be certain it’s not the issue.
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I had the same problem with my pro. Before you get to the tornado turn completely around and walk backwards into it and don't look around until after you've been teleported. Done it on two characters and had no problems since.
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Do you have game boosting or HDR turned on? Maybe try turning those off during that mission if they are on.