She wears a flak vest and that’s why she wears the large jackets and also why her jacket was not removed. I’ve heard that the flak jackets are very hot to wear, but Trump doesn’t complain about it and I’m sure he wears one all the time.
She almost certainly wears some kind of bulletproof vest. The ones they put on protectees are lighter than the flak jackets you see “journalists” wear in combat zones. Still uncomfortable and hot, but not too onerous.