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GK mindstrike missiles cause Perils of the warp in addition to their normal S4 Ap5 damage.
Perils of the warp cause a wound.
So the missile causes S4 Ap5 hit and a wound.
Can the psiker take cover save from wounds caused by mindtrike missile's Perils?
Normally you cant get cover from Perils, as there is no attacker and no source of damage from which a barricade could shield you; but in this case it's a shooting attack...

you can take a cover save from the missile strike itself. Perils doesn't allow such a save, however.

Perils specifies that no saves may be taken. Trying to take a save would break this rule, so dont do it.