Statistics is more than hypothesis testing, but you'll get surprisingly far without straying too far from linear models - I remember a Stats prof saying 'most of classical Statistics is GLM [0]'
I disagree with the implication that linearity is an unnatural concept, it appears whenever the changes being studied are small relative to the key parameters that determine the system. Every system is linear for small perturbations. Even logic gates; in negative feedback they can form passable inverting amplifiers. In a place as big as the universe it is rather common for two things to be very different in scale and yet interacting.
I've never actually seen a physical example of a system without a continuous first derivative. For example phase transitions, commonly touted as an example of discontinuity, don't actually occur until the matter has gone a bit over the point and a transition nucleates somewhere. The probability of a phase transition is a continuous function of temperature, with continuous derivatives.
I'm skeptical that discontinuities can exist because, if they did, they'd serve as infinitely powerful microscopes. If there's a discontinuity in nature, it must exist at absolute zero. I don't have a similarly good argument for continuous first derivatives but I do think it's interesting that there are no examples AFAIK.
Any physical system that makes/breaks contact, such as walking robots. Sure, the foot is not perfectly rigid and technically is a stiff spring. But from a computational perspective, problems still bear all the hallmarks of a discontinuous system such as requiring a very short integration step.
Quantized space is absolutely discontinuous, and tunneling is a discontinuous system. In fact assuming the universe is quantum it’s discontinuous in reality but the appearance is continuous. But these distinctions aren’t super useful unless you’re dealing with these sorts of effects. Continuity is the approximation, discontinuity is the reality. But depending on what’s useful we use the mathematics that help us.
Tunneling currents are continuous in every parameter, although I admit that when you're dealing with particles you have continuous probability distributions with continuously varying means, rather than continua of matter. (But that should count, because all macroscopic variables are expectation values.)
Specifically at quantized space and time levels everything is discrete even distribution functions. There’s no sense in having a continuous spacial distribution sub Planck lengths.
In chaotic systems, time becomes one of the parameters that has to be small for a linear model to make predictions, but they are still linear for brief times.
My favorite moment in university was in the first class of semester 2, where a prof said "lets look at a really small part of our thing, and assume we apply some force to it. This will make it stretch, lets assume the stretching is linear relative to the applied force". I raised my hand and asked "is this assumption supported empirically?" and he said "no, we know it's not always true, but if we don't make it we can't calculate anything".
At the time I was mad at engineers for being non-scientific, but after a few years I understood the deep wisdom in that. Nonlinear materials exist, and materials we use have nonlinear ranges. We just don't build things from those, because the math is too unwieldy. (except in very very specific edge cases where we spend a lot of money building a very limited thing)
It's funny: I had the EXACT SAME PROBLEM !!!! Like "how is it science when a prof says: "this equation is too complicated too solve so let's erase these third and forth derivatives and pretend that it's the same - even if it's not - because that's all that we can do"
So I left the "physics" courses and went the "math" courses... only to learn 3 years later how to prove that this kind of approximation is mathematically sound indeed :-D
Practically all materials behave nonlinearly when stretched or compressed a visible amount. For certain structural applications, though, if that happens we've already failed. Linear models work really well for designing big concrete structures and certain metal structures. Sometimes we try to apply linear models to other things, but that's always kind of fishy.
[0] https://en.wikipedia.org/wiki/Generalized_linear_model