what
Nobody "intercepts" individual emails. If your account or the account of the person you're communicating with is compromised, then all of the emails going through that address are going to exposed.
There are certainly some security advantages in sending information that must be used together in different emails. In addition, lots of players "intercept" individual emails. If there's a sniffer sitting right in front of Delta's mail servers and the emails are sent with a sufficient time lag it may be difficult for that party to put the packets of the second email together with the first. It's also possible, though probably unlikely, that the packets for the second email take a different route than those for the first email, in which case a sniffer sitting at most places in the middle won't see both emails.
However, this doesn't protect against end point compromise as you reference (OP's email account or the employee's email account being compromised).
If OP is so worried about this, why is a phone call not an acceptable method. For someone to be listening in on calls on either side (assuming you call the employee's personal number), they almost certainly already have the ability to figure out your SSN.