I will discuss the closed string propagator because this case is pictorially closer to the scalar propagator in quantum field theory case.
The closed string analog of the (two-leg amputated) line of propagation of a scalar field in a Feynman diagram is a cylinder of finite height $s$ and twist angle $\theta$.

At this point you must notice the analogue with the scalar field propagator picture, just send the radii of the cylinder (immaterial parameter in a conformal field theory) close to zero.
Now perform a conformal transformation from the cylinder to the punctured at the origin unit disk and consider the operator $$e^{-sL_{o}^{+}}e^{i\theta L_{o}^{-}},$$ where $$L_{0}^{\pm} = L_{0} \pm \bar{L}_{0}.$$ That operator implements the conformal transformation $z \rightarrow z$ that shrinks and rotates by $\theta$ the unit disk.

That effect precisely corresponds to the free propagation (with a twist) of a closed string at finite distances in target space. With this in mind the closed string propagator reads: $$b_{0}^{+}b_{0}^{-} \int_{0}^{\infty}ds \int_{0}^{2\pi} e^{-sL_{o}^{+}}e^{i\theta L_{o}^{-}}$$ Where the $b$-ghosts were inserted to ensure BRST invariance and integration limits were chosen to cover the entire moduli space.
To answer your second question. Where are the worldsheet embeeding functions $X(\sigma)$ in this expresion? The answer is that they are implicit in the propagator formula. Recall that the tree level dynamics of a closed string is specified by the only two moduli ($s$ and $\theta$) present in the propagator formula. Also the computation is performed from the worldsheet perspective were the actual formula must be reparametrization (indeed BRST) invariant. That's somewhat different from the field theoretical computation that only require Lorentz invariance.
References:
- My comments were extracted with minor comments from Four Lectures on Closed String Field Theory
. Here you can check (page 17) a detailed comparison between the closed string propagator with ordinary field theory.
- Two-Point String Amplitudes
offers a beautiful two-point tree level amplitude comparison between string theory (both open and closed) and field theory.