Missy looks at the console, looks at the Doctor, and immediately asks whether he's all right...
Well, I didn't read too much into that, the Doctor was visibly upset which we know is because Nardole let Missy out of the Vault. It never occurred to me this is some sort of clue.
The TARDIS has stuck around in situations much more dangerous then the one on Mars. There is no way the TARDIS disappeared because the situation was too "dangerous". Its a few ice warriors possibly starting a war. That's a fairly tame adventure when it comes to dangerous situations, at least from the TARDIS's perspective. There was absolutely no reason shown for the TARDIS to flee, and especially for it to not come back until Missy could override it.
But then, the situation in Cold War wasn't really all that dangerous either. Maybe the TARDIS just doesn't like Ice Warriors? After all, it wasn't until after they were gone the TARDIS returned to Mars. Maybe that was Missy's secret, she determined when the Ice Warriors would leave and set those coordinates?
The AV Club had a good point, it was a shame we were deprived of being able to see the Missy/Nardole team have an adventure in the TARDIS.
Damn, a Missy/Nardole adventure could have made a fun Doctor-lite episode.
Or the Doctor just had too much fun trolling NASA.
You know rather than the mission control people being all confused and "who the hell are you?" it would have been more fun if they played with him trolling NASA.
"Damn it, Doctor, not now. We have work to do."
"You're right, you're right. I'm sorry. Please continue."
The monitor screen clears up revealing "God save the Queen"
"Doctor..."
"I'm sorry. Aren't you too busy? Don't you have work to do? I feel like taking a walk to the commissary..."