Hellblade is meant to be just as grand as any other Ninja Theory game, even though it doesn't have an external publisher to pick up the tab. Countless small developers have proven you don't need a ton of cash to make great-feeling action, but renting out a studio to capture all your thrilling and/or devastating cut scenes - which are the other half of the Ninja Theory equation - is a bit more expensive.
Or you could just build one in the conference room with loads of Gaffer tape, Ikea furniture, and cheap Amazon light fixtures, like so:
Hellblade's actors clearly have less space to run around and pretend they're throwing javelins at each other in the homemade studio. But judging by that little in-game teaser at the end, it still works great for more subtle moments.
Check out the rest of Hellblade's development diary series to see how else Ninja Theory's trying to establish "independent AAA" as a new development philosophy (rather than an oxymoron).