"It looks like a duck and walks like a duck," Frost replied, "but it quacks like a wolverine."
She said, "You can't find the bullet because there isn't one. There never was."
Since this is Frost, we can assume that she is referring to a corpse of some sort. Something that had a wound resembling a bullet impact. Now you can get a similar trauma without a bullet, just stab someone with something of a similar diameter very, very quickly. But at this point, the comic geek that I used to be wondered what it would look like if the X-man known as Wolverine "popped" a claw on someone during the time that he didn't have his adamantium improvements.
*goes back into his parents basement*