They don't, at least not conductive ones. Volterra drills through holes but they aren't conductive. They recommend using rivets or less preferred is filling them with conductive ink and baking, but that's a huge pain and I imagine most people just use a piece of wire instead or try to avoid vias altogether. Othermill works the same way.

Usually you want to design your board around this limitation, which is why I generally don't recommend them for people looking to prototype PCBs with the intent of having them professionally manufactured later. IMO their niche isn't really as a replacement for a manufacturing service, more as a quick turnaround tool that lets you make one-off boards as needed.