I would assume this is what they do. Places like Discord and Facebook will usually cache it on their CDN and display the image from their CDN.

Even if I direct link an image on discord, it essentially just rehosts that image on their CDN and displays it from there. Discord even allows that cached image to be hotlinked on any site. I have seen people use it like an image host for things like their "signature" on forums.

I've seen embedded videos auto play directly from external sites, in the app. Making the video fullscreen just expand what appears to be a frame, with ads and all present.