I did some research and I couldn't find whether there is any XSLT 3
feature in the Saxon HE, which allows extracting the xlsx (Excel file)
directly. I found some solutions using Saxon EE, want to know whether I
have missed something whichB we can apply using the HE.

Together with XProc to extract files from the archive that is the .xlsx
file you should be able to process the stuff with Saxon HE, I think. But
you haven't said which EE feature you use or require. Some external
EXPath libraries for HE exist, I think, too.