It is written on their website:
Phoenix is a real, self-contained Lightning node that runs on your phone. It does not require you to run another Lightning node at home or in the cloud.
Connecting to an Electrum node is mentioned as optional:
You can configure Phoenix to use your own Electrum server to watch the Blockchain and monitor your channels.
Does Phoenix run a Bitcoin full node (no pruning) under the hood (such as Bitcoin Core or Bitcoin Knots) by default? Or does it simply connect to one remotely?